Done it as part of my electronics courses. An O-scope is very handy to be sure you have gotten the correct gain structure on a DIY amp. Then, you can see how much overhead you have before clipping. An O-scope would also show you any crossover distortion for a class AB topology.
I tried to do some THD+N measurements as part of the same project. But, I had borrowed a distortion analyzer from a friend, and didn't realize that it didn't have a built in low distortion oscilator, so what I ended up measuring was the THD+N from the function generator, as the amp being measured was certainly a couple orders magnitude better than the function generator.