Except sometimes for indy hotels - when you don't want a direct relationship. Then it comes in handy to have a third party that chases the refund (or book via PayPal which achieves the same effect).
I had one bad experience with a hotel booked on Expedia, and I ended up getting money back from Expedia over it. Hotel reception wouldn't even admit there was a problem (room was booked Ocean View, but was more of a glimpse from the toilet window only).
It really depends on the hotel though. I almost always book direct.