Aside from packaging (which some of the airline sites can do), the other reason to go with a site like Expedia is that they will combine different airlines to get a lower fare. You can often do this on your own by buying separate tickets, but there can be advantages to booking all the flights together.
Sometimes there are cases where the third party sites are cheaper than the airline's site. I've seen Priceline's "pick your flights" option have a lower fare for a SFO
ticket on ATA than on ATA.com had for the same flights. I've also seen Orbitz have a low fare on the flights I wanted, where United.com had the same fare but not for the flights I wanted.