Kernel compiles can be tricky at first. There's a huge number of options available and you really aren't given enough info to know which ones you need and don't need. I had to go through about a dozen recompiles the first time I tried it. Took me about 3 days to get a kernel I could be happy with. Now my system boots much faster and is probably a bit more stable. But I probably still have a lot of useless junk loading it up. Eventually I'll go back and discover what everything actually does and really strip it down to a lean system.
My sound card wasn't supported by the default Debian kernel, so that really motivated me to learn how to it. But even if I hadn't needed it I'm sure I would eventually start doing it anyway, because one of the best reasons to recompile your own kernel is simply "because you can". Is is possible to create a custom Windows system suited specifically to your needs? No need to answer that.
With Linux you have the power to make your system your own in a way that just can't be done with proprietary software. I, for one, just love having that ability. More power to the people, Yeah, Baby!