Some people may not accept what I will say but...
Making them:
-It's funnier.You can also get some experience...
-No regulations.You don't need to tell someone what you are doing and why.You are just doing something..for some reasons.Seriously,how many times you needed something to do something productive but couldn't get that something because there are some idiots who use that something to harm?Good examples can be KClO4,NaKClO4,HNO3,NH4NO3,KNO3,NaNO3 and many others which can be used to make explosives,poisons or drugs.Even a "stupid" solvent like Acetone or Toluene can be hard or imposible to get without autorization in some countries...
Buying them:
-Boring
-Regulations.
-Ok...it may be safer and better but i would chose the first option.