Previous posters caught some of the key issues. I'll throw in some other things you're achieving with a SAN,
1. Scalability. While you are right that it's possible to match the performance of a SAN disk-for-disk with a small number of disks, a SAN gives you shelf and frame space to scale far beyond. I've managed SANs with hundreds of disk spindles, which is something I'm not going to accomplish with Newegg parts. At the higher end, it's nice for scalability to be as simple as putting another shelf of disks onto the chassis.
2. Feature richness. If you've got the money, a SAN can be a starting point for snapshotting, realtime site-to-site replication, DR, integrated SAN/NAS-to-tape backup systems and so forth. Some of this is fluff, but sometimes it's quite useful. Then there's this whole new emerging field of built in ILM and compliance capabilities that, while I consider to be largely bureaucratic/overhead, is still a fact of life in many environments.
3. Performance. Disk for disk I'm not going to get a six-figure or seven-figure storage system so that my 5 disk RAID volume is faster. But again you do see higher ceilings. I've had requirements for sustained gigabyte-per-second-to-host throughput for extremely large data warehousing environments; this is something I can accomplish easily with multiple 4Gb fiber paths load balanced to a host, with 40 or more disks behind them. Again, more difficult to achieve with Newegg parts.
4. Support. SANs have dial-home capabilities for making service calls.
5. Integrated software stack certification. If I'm running a clustered database using some sort of raw or semi-raw clustered filesystem accessed via all nodes over multiple paths... well, EMC and its ilk have a complete, certified solution stack to handle all these piece. No mucking about with a Linux multipath package of tweaking an OS i/o scheduler or the like. I've dealt with -many- "issues" in the storage interface software subsystem in high performance database clusters to have recognized the need for solutions that have been field tested. vs. solutions that some lone consultant put together reading HOWTOs.