That depends on what you’re looking for. I chose to buy in utero (due ~4/21/18!) because I am saving considerable money. Weanlings and yearlings with similar bloodlines are selling for 2-3 times what I am paying; anything of riding age is STARTING at 5 times what I am paying for my “custom” foal. Even factoring in the raising and training expenses, this was a no-brainer for me. There is always an element of risk, I agree, with buying very young horses; we all have to decide how much “risk” we are willing to take.
Not every market is the same.
Edited to add: Just realized that this is a zombie thread. Which is probably why my experience with the market is very different than the one BeeHoney experienced seven years ago!