If you're booking with a major chain like Marriott, Hilton etc, it's always worth booking directly, because it's much better to at least interface directly with those broken systems. If/when things break down, their own customer support can usually sort you out (esp if you have elite status), plus they're much more willing to comp you to better rooms etc. If you book through a proxy, the odds of breakage increase and support on both sides will just point fingers at each other.