Is it better to buy a workbench with the pegboard back included or to buy an inexpensive workbench and install the pegboard back on the wall?
Personally, I like the idea of building your own bench, and making it free standing so you can walk around it. You would not regret that decision. I built my own, and it has served me quite well for many years now. The money spent for vise hardware and the hardwood top was far less than I would have spent on a new bench of similar quality. (Admittedly, I bought the thick maple top already made and finished, as the lumber there alone would have cost a bundle.)
As far as pegboard goes, hang it on the wall. In fact, cover the wall with it. You can never have enough storage, and blank wall is wasted space in a shop.
Why do you want to hang the pegboard on a wall, instead of attached to your bench? My bench is massive, but I sometimes find even it moves on me when I'm doing something. Do I really want it attached to pegboard with tools hanging from it? No. I have no desire to see a pair of pliers falling off their hook when I'm working.
I suppose it depends on where and how you plan to use this workbench. If there's a wall available, and if you might use the bench for large projects, then attach the pegboard to the wall. Having the pegboard attached to the bench limits the size of projects that you can put on the bench and the directions from which you can approach the bench. On the other hand, if you'll be working on small projects and having tools close at hand is very important, mounting the pegboard to the bench might make sense. It really just comes down to what you prefer.
If you want a simple, strong, inexpensive work table that you can build in a few hours, take a look at some of the project suggestions for Simpson StrongTies. You won't get a classic woodworker's bench here, just a very solid bench/table that you can use for all manner of projects.