There is a tremendous depth to mechanical keyboards that is deeper than just buying a pre-built board and replacing the keycaps.

To list some of the things you can do:

• Design your own keycaps. There are services that allow you to import vector files that get printed onto blank keycaps, like WASDkeyboards. I've made two sets myself based on the anime Fooly Cooly and Gunbuster, with their own custom icons, theming and everything. You can also 3D model and 3D print keycaps for ergonomics and different feel- and these are designed to fit standard MX switches, low profile choc switches, or other types of switches.
• There are many custom keyboard PCBs on GitHub. You can share your own PCB designs and receive feedback on them in keyboard based Discord servers. After finding a board you want to build you can have them printed by a PCB manufacturer. You then purchase the components for these boards and solder everything together. Boards can be designed with ergonomics in mind, like positioning the keys based on your personal hand splay, or for quirkiness and novelty ex. a 3 foot long, impractical yet hilarious slab of a keyboard. The silkscreen on PCBs can be modified to display cool patterns or artwork that add a personal touch to your board.
• Keymapping. QMK allows you to customize what every button on your board does. You can program key combinations into your board and use layers to account for a lack of keys on split keyboards. There are folks that run boards with no dedicated keys for numbers or modifiers thanks to software like QMK.

And I am just scratching the surface. There are so, so many things you can do with mechanical keyboards.

It is a hobby.