I make all of my adventures, but I copiously steal and borrow from others if I feel appropriate - then give it my own spin. This is why even if I rarely run them, I view adventures in Dungeon as being invaluable as I can take encounters, maps (most important) and other features for my home campaigns. Good adventures, with a solid interesting antagonist and neat inspirational cartography are the best things ever. Lord of the White Field, published in Dragon is a prime example.
I find though that I am too much of a control freak to run a module as is. For one thing, I find the difficulty of Wizards modules is too uneven and often just bizarre. For example, I cannot fathom why in one encounter in Pyramid of Shadows there are minions so low level in the encounter, that they literally couldn't do anything with a miracle behind them (or me copiously cheating). Another is that I think 4E is a system that is hard to write "generically" for at high levels. You really need an understanding of what your party does and how to "Design" an encounter that sometimes adheres to their strengths, sometimes exploits a weakness and - ideally - does both at the same time.
Of course Wizards, through their complete lack of any support for paragon and epic adventures has made this a really easy decision for me. It's also disappointing, because until recent books like MM3 I was left to "Figure it out myself" on how to make challenging solos and other things. I do wish I had the ability to copiously steal!
If I have a problem, sometimes my ambitious plans get ruined. I've had to several times cut down really awesome ideas, because I didn't have the time to implement them as my "vision" demanded. Such as in Sorrow of Heaven, where due to being so busy in real life I was pressed for writing/encounters. So I had to put in a pretty long - if pretty intense and dangerous - dungeon crawl. I will forever view that stretch of 4 levels in Carceri as a wasted opportunity to do something special with a campaign in epic tier. If I could have had more inspiration to steal from, except for Scales of War and the E1-E3 series (which isn't really that inspiring in all fairness) I think I could have done better with limited time.
Overall though, making my own monsters, dungeons and challenging my PCs is really important to me as a DM. It's what I enjoy most: Knowing that I made fun, challenging encounters that they will hopefully remember for quite a while. Sometimes I fail horrifically of course, like I tried to make an "epic" defense in Celestia of Moradin's Holy Forge against endless waves of archons. But unfortunately, the mechanics never truly gelled and it was just too much of a huge, rather unexciting grind fest instead of how I envisaged the attack. That's one thing I always felt was a real wasted opportunity, but you learn from these things and the next time you try it: It will be even better and genuinely fun.
Accepting failure and that sometimes what you do won't work entirely (as opposed to working as you don't expect, which is a different skillset) is an important part of DMing. Bouncing back to run a fun game and redeem last weeks terrible combat/session is possibly the most important skill when making your own stuff.
