> people are waiting for certain features to show up on their device's special build. How true is that
Very. Some manufacturers are painfully slow to release new builds.
> how practical is it to ignore and install fresh new releases from the Android team?
Depending on your phone, this can either be trivial, or nearly impossible. In general, you'll want to devices that Google itself has released, as they tend to get the most sustained attention from developers. In particular, the three Google-released devices are the Passion (Nexus One), Magic (Ion), and Dream (ADP1).
> Does doing that void any warranties?
For the Nexus One, yes. For the ADP1 and Ion, no.
> What about installing a customized build?
Installing custom builds is very simple once your device has been unlocked. You can essentially boot a "restore" image as if it were a live cd, and then use that to install new system software.
> is any kind of jailbreaking or exploitation of bugs needed to get builds not released by the manufacturer onto the device?
That varies with the device. For the Google-released devices, the most you'll need is to grab the "fastboot" tool and run "./fastboot oem unlock". Other devices, like the Milestone (Droid) do not have vendor-supported methods for unlocking.