Different fare conditions and less rights if things go tits up.
After losing shitloads when the ash cloud hit (including hundreds on hold to premium rate numbers from abroad to try to get home, which isn't covered by the insurance) as the airline wouldn't deal with me as I'd booked via a third party, and the third party was impossible to get through to due to the volume of people affected, ill only book direct now
I found out why when FIL suddenly got very sick and they thought he was dying. We needed to go back asap. If we would have booked direct than than would have been fine. Because we booked via a third party we had to pay a nice sum to get the tickets changed.
We booked a last minute trip to Florida this month and flew within 48 hours. We got hotel, flights and car for over £1300 less than just flights on Virgin. That way Virgin still get to sell seats at full price directly if people are willing to pay but they still put bums on seats doing IT tickets via agents (in our case we booked through netflights). We were able to use our miles to upgrade on the way out too, just had to pay £75 tax each.