First understand there are several different types of financing institutions out there and quality car dealers will have relationships that allow simplifying the approval process. Main types of institutions are:
"Primary" are your Banks & Large Commercial Credit Providers. These providers can be harder to obtain approval, but will yield the lowest rates typically and will build your credit rating the best in the long run as you pay the loan off.
"Secondary" are typically smaller market savvy (often local) lending agencies that are easier to obtain approval and will accept customers that have recent credit history issues for a somewhat higher interest rate than Primary Institutions. These lenders will usually keep your financing history on record with the credit bureaus and thus build your credit history there.
"Buy Here, Pay Here" One of the best things about dealers offering buy here, pay here is that they will be able to offer you financing, and you can discuss with them in a direct conversation how much they are willing to finance the car for until you reach agreeable terms. In fact the dealer may very well want to evaluate your financial status before reviewing potential vehicles of interest to make sure they are vehicles they can finance inside your payment requirements. The interest rates vary by dealer and customer situation and are not as patterned as Primary interest rates are. Also many Buy Here, Pay Here dealers typically will not file your credit history with credit bureaus, unless the loan goes into default, so you may not directly build your credit unless you ask them to file it. You can always request a reference letter. Feel free to ask them to report your payment history to the credit bureaus - they may incur a filing fee or not want to do it until the loan is satisfied.
