i've done both. i would normally price everything myself & then take it to an agent to see what they can do. fwiw, i've never had a problem with anything i've booked for myself online but i may just have been lucky. the last holiday DP & i went on we did a combination of both. also, if you're going somewhere that needs visas, that can definitely be easier if you go through an agency.

either way, it's also good to check hotels out on a site like 'trip advisor' to see what people say about them.