I suggest a Ray Way as a first project - I sewed mine together a little funky but it's still functional as a quilt. Kits you get from Ray Way have explicit instructions to follow and all the materials you need (except thread and clothespins, but you can get thread from RW too) so those are a good start, and a RW quilt is as little as $60, which is a savings over buying a complete quilt. If you don't like sewing after all, you still have a warm quilt. If you do like sewing, there are other projects, like stuff sacks, hats, jackets... and you can customize them however you please.

In other words, the answer to "is it worth it" is something you can answer only for yourself. Sometimes it's worth it for me to sew something instead of buying it. Sometimes it's not. It depends on how urgently I need the item (how much time I need to make it), and how much I am going to depend on it - if it's a complicated item I will need to rely on I'm more likely to buy one than make it.