Our LDS is also a travel agency and can do a good job on dive travel and non-dive travel. I just found one really good reason to book through an agent: if something goes wrong, they may have the resources to help you out. In July or August, we booked a trip to Cayman Brac and the Divi Tiara resort, along with another couple. We both bought airline tickets early and on our own. The LDS doesn't get any commission on the tickets and doesn't really have any leverage with the airlines, so I generally book my own air. In September, we found out that Divi had closed the Tiara. By the time I called the LDS to find out what was going on, they had already managed to get us booked into the Brac Reef resort, the only other full-service resort on the island, and had gotten Divi to pick up the extra cost. I probably could not have done this myself, but the LDS books lots of people into Divi properties all over the Caribbean, so they could swing some weight with the Divi corporate office.
On a more basic level, a dive shop will probably know a lot about possible destinations and be able to give you information and make recommendations. They will have personally visited a lot of places and will have reports back from other clients as well, so they can be great sources of information. As someone else mentioned, they often have access to deals you may not be able to find yourself. I do not think it is correct to assume that it will be more expensive through a dive shop. I would say go talk to your LDS and see if they can be helpful. If you don't feel good about it, book it yourself.
On a more basic level, a dive shop will probably know a lot about possible destinations and be able to give you information and make recommendations. They will have personally visited a lot of places and will have reports back from other clients as well, so they can be great sources of information. As someone else mentioned, they often have access to deals you may not be able to find yourself. I do not think it is correct to assume that it will be more expensive through a dive shop. I would say go talk to your LDS and see if they can be helpful. If you don't feel good about it, book it yourself.