The majority of the time, that's what I do as well, as the only place I go where I need to book a room is Las Vegas and I have many options due to being a member of a number of casino players clubs and get room rate offers that are only for players club members. In addition, being a fan of a particular hotel on Facebook or following them on Twitter can also get you special room rate offers as well. A week before my last Vegas trip, I actually changed hotels because of an offer that was posted on the FB page of another Vegas hotel I'm a fan of.
I've booked a hotel room via a travel site three times. The first time was my very first trip to Vegas and just did what I thought was the easiest and cheapest way. The second time, I decided to change hotels several weeks before a trip and the hotel I was looking at booking didn't have any rooms according to their own site, but I was able to get a room there via Travelocity. I just recently booked my next Vegas trip via Orbitz as a package deal (flight + room) because it was cheaper than booking separately or even through Delta Vacations or as a package deal through the hotel.