One of the clearest advantages RNA-seq has over array-based technology for studying gene expression is not needing a reference genome or a pre-existing oligo array. De novo transcriptome assembly allows you to study non-model organisms, cancer cells, or environmental metatranscriptomes. One of the challenges with de novo transcriptome assembly, above and beyond all the challenges associated with genome assembly, is the highly varying abundance (and thus uneven sequencing depth) of different transcripts in a cell.
Several tools have been developed for de novo transcriptome assembly. One of the most widely used is Trinity, developed at the Broad Institute. Trinity is free and open-source, and a recent Nature Protocols article walks through using Trinity for de novo RNA-seq:
Haas, Brian J., et al. "De novo transcript sequence reconstruction from RNA-seq using the Trinity platform for reference generation and analysis." Nature protocols 8.8 (2013): 1494-1512.
In addition, Trinity's creator, Brian Haas, has published four videos on YouTube on de novo transcriptome assembly using Trinity (via RNA-Seq Blog):
Introduction to De Novo RNA-Seq Assembly using Trinity
The General Approach to De novo RNA-Seq Assembly Using De Bruijn Graphs
Trinity - How it works
Strand-specific RNA-Seq is Preferred
Finally, if you're at UVA, we'll be hosting a transcriptome assembly workshop here in November, and registration will be opening soon.