it depends, if its SRAM its way cheaper going for a complete groupset, if its Shimano its probably cheaper going for seperates as more people stock them and you can pick and choose what you want to spend more on accordingly.
i bought my Sram Force groupset from Shiny Bikes in the sale but if you hunt around you can still get bargains. Planet X were doing some good deals recently. Shiny BIkes are doing Apex for <£400 and Rival for <£500 at the moment and they are nicer to use comapred to SHimano equivilents at that price.
Never look at Campag so i dont know what a good deal is!