It really depends on your working habits -- certainly if you only work from a fixed location, you can build or buy a desktop at lower cost/performance, but you're giving up the ability to move around easily -- to go work on your couch, outside, at a coffee shop, or to easily make presentations if it comes to that.
Similarly, it also depends on what you intend to do -- If you're doing 2D games, and aren't doing extensive 3D modeling, just about any laptop or desktop will do. If you plan on doing low-moderately-intensive 3D, you need good integrated (AMD A10, Intel's HD4000 or higher) or low-mid-tier discrete graphics, do more an you'll need mid-high-end mobile discreet GPU or performance-level desktop graphics. More still, and a workstation is what you need (or 17"+ notebook with SLI/Crossfire, giving up convenient portability).
For me I decided that all of my real "work" was going to be done on my laptop, but that I wanted a good, fixed workspace with multiple monitors, so a good docking solution became a requirement. I chose a Lenovo W530, upgrading the baseline model to 1920x1080 display, NVidia K2000m GPU and Intel i7 (4c/8t) @ 2.6Ghz baseline clock speed. I also ordered a dock that supports 2x Displayport/DVI dual-link + 1 VGA so that I can drive 3 monitors. After it arrived, I swapped in 32GB of RAM (it supports 4 modules) and a 256GB Samsung SSD. Currently (although I'm admittedly overdue for a desktop upgrade) this laptop is more powerful than my desktop in all bug raw GPU speed. Still, it plays games like L4D2 and Borderlands at 1920x1200 with settings maxed out with frame rate to spare. Cost-wise, I've got about two grand into it (about $400 of which is the dock), so its not a cheap option, but for me its the best balance of portability, power, and achieving a good workspace at home that I could ask for. I still plan to have a desktop that I can call into action if I ever needed it to, but starting with my next upgrade I'm going to build smaller systems aimed at gaming -- a small case with as powerful a CPU and GPU as I can fit inside, rather than the behemoth, do-all workstations I've built in the past.
If you do choose a laptop, don't just get the cheapest hunk of plastic you can find. Spend some time and find what's comfortable for you and has good build quality, a comfortable keyboard, decent pointing device, and wifi/Bluetooth built in. You'll also want a display with a resolution that gives you enough workspace, but is still comfortable for your eyes -- I like 1920x1080 (or better yet, by 1200) at 14-15.6" diagonal size. Any smaller and the DPI is too high, any larger a screen and you sacrifice portability. Retina or other very high resolution displays are nice, but Windows doesn't play as well with high-DPI displays yet as OSX does, so keep that in mind. I like my Lenovo, I've heard good things about HP's portable workstations (although they look like a brick), and I've also really liked my MacBook. On the Mac side, a Retina machine with a 27" thunderbolt display is a pretty nice docking solution, and at least on the larger Retina machine you could add another large monitor too.