Compiling a Kernel. Benefits / Risks / Tips & Tricks ?

I plan on compiling my kernel for arch from scratch.  I have backed everything up on my computer and I am going to format the partitions and install a fresh copy of Arch.
I intend on following this guide to do it.
Doing some Googling and general research on the subject of compiling the kernel I mixed messages about what it can actually do for you.  I am going to do it either way, for the learning experience (and bragging rights) and so I can say I have done it at least once.  I also wan't to know more about the kernel, it seems like a good way to find out.
Anyways, Any advice is appreciated.
Thank you,
Daniel

@iamdanhenry,
The very first thing you should do is follow ewaller's suggestion and learn how to have multiple kernels with Arch.  I don't know how to do that yet as I'm an Arch newbie: my experience with compiling kernel's is on Debian.  The reason you want multiple kernels is exactly as ewaller said: what if your shiny new kernel won't even boot the system.
As for the modules being listed: that's just the hardware in your machine.  Not all modules you may need may be loaded until you actually need them.  Remember my USB/NTFS example?  Well, there's also the "character encoding" needed to mount an NTFS volume.  You can have both USB and NTFS support compiled into your kernel and still not be able to plug a thumbdrive successfully with an NTFS filesystem because your kernel doesn't have another piece: the character encoding used on the filesystem.
If you are unsure of which modules you need then there's perhaps do not use localmodconfig and instead just use the jobs number.  More jobs will still compile the kernel faster and if you don't use localmodconfig you'll just have a resulting "and the kitchen sink" kernel.
Now the link karol gave might be useful too.  From my gross understanding of it is that it has an option to keep a record of "all modules ever modprobed."  This could - if I'm understanding it right - help greatly in building a successful localmodconfig kernel that has everything you need.  You'd just have to build up a history of using your system day-to-day and have that package build up a list of everything you happen to need.  Once you have that history then compile a minimal kernel.
Another thing to explore - and I'm not certain of the compiler flags: perhaps someone else can help - is to enable specific compilation options for your machine.  For example, if your CPU flags include SSE2 support then compile your kernel with that flag set.  The benefit of setting compilation flags based on your actual processor's abilities is that in the end you may end up with a slightly faster overall machine.

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