Ticket prices tend to be a bit higher when you book with the airline directly. Consider a return flight from, for example, Toronto to Vancouver, Canada. Directly from Air Canada, this ticket costs $519 (as of October 2010). From a travel agent, the same return ticket cost a few dollars less ($508, as of October 2010).
Travel agents can almost always find a lower price than the airlines provide, but it comes at the cost of convenience. The cheapest flights are usually the ones that depart in early morning or late at night, or they are for fixed-term tickets. If you're not picky about when you travel, travel agents can find cheaper tickets.
For a few extra dollars, booking with the airline directly can result in saved time. Travel agencies' best ticket prices may involve long stopovers or transit flights, but shopping around on different airlines might reveal a direct flight for only a bit more money.