For games, it is preferable to buy parts and assemble them. The assembled computer will give better performance than the laptop, and it is also much better in cooling.
This thread has lots of comments, but heres my take on it.
It depends on what type of person you are and what games you play.
Me personally, i've built a pc. But at the same time i wish i had a gaming laptop, i could swap places to game more easily. Also when on vacation you can easily bring your games with you!
In most cases, a gaming desktop is the better choice.
Gaming desktops provide more bang for your buck, are less expensive to upgrade and repair, and last longer before they go obsolete. The wildcard is portability. There's no getting around the fact that gaming laptops are portable and gaming desktops are not.