Well it has always been the other way around for me. I used Expedia, Flifo, Orbitz, Sidestep, you name it. Then each time I was curious about the airline's direct fare, I found it to be lower.
So, since we are reporting different experiences, it may really pay to take time to re-check the information that Expedia and all those travel sites give you against the same flight information in the airline's website, as soon as possible.
Don't forget to find out what the non-refundable fee the service charges, however. That could be over and beyond airline fees such as the Sept 11 security fee, etc... Add up your numbers and if you get lower fees through one of those services than you would booking directly through the airline site, you'd be a fool not to take it.
Another thing, several airline websites are now allowing you to print your boarding pass from your computer or use an airport kiosk, which could save you a lot of time. I am not sure travel services match or beat that, as of this date. I know some do allow you to select your plane seat just like you would through the airline websites, which is always nice.