I often try to do this, but it's rarely cheaper, and occasionally much worse. I recently bought a beach tent directly from the manufacturer, and when it showed up, it had a big Amazon sticker on it, and didn't actually have the product inside; it was clearly something Amazon had returned to them. Meanwhile, they haven't responded to e-mails and there's no way to return it, so, uh, I just got scammed.

I keep doing it anyway, but it's certainly not because it's a better or cheaper experience.