Most custom made knives have blades on them that are created by a couple of processes:
1.) Stock removal process - grinding and removing all the bits that do not look like a knife, until you have an un-hardened piece of metal that has the general shape of the final knife. This is the most common way that custom knife blades are created.
2.) Forging the blades - Forging is simply the method in which a blade is manufactured by shaping hot metal using either a metal pressing machine or a hammer and anvil. This tends to be the image that pops into peoples heads when they think of custom blades or knives. The image of the medieval blacksmith hammering away with sparks flying off of the hot metal.
So which one is better?
This is a debate that has been hotly contested for a very long time, and I dont expect to end the debate here today, but essentially in this modern age of metalurgy, many stock removal knives can be of comparable quality to forged blades... however, a very well done forged blade can be the most finely honed blade you can get, forging just opens up the posibility of issues in the blade if not done properly, thus making an inferior blade.
Some excellent custom knife makers have stores on http://www.JustCustomKnives.com. Drop by and take a look at their custom knives! Its a great first stop in your shopping process.
In the end, it just depends if you trust the bladesmith forging your blade, and if you are will to pay the extra money to know that the extra skill and love was put into your knife.