[beojan]

You should book directly with an airline who will book all the connections so long as they're all with partner airlines (i.e usually in the same alliance). Often you can even book with an airline in that alliance that you won't even be flying to possibly get cheaper tickets.

Some OTAs will book connections on airlines that aren't partnered as separate tickets so if you're incoming flight is delayed and you miss a connection, tough luck.

[brewdad]

This. I booked an international flight with Delta for next month. On Saturday I awoke to find that KLM changed my European connection to 28 hours later than originally booked and this would screw up all of our hotels and rental car. I talked to Delta and after about 30 minutes of the agent doing everything she could including escalating was told that they couldn't make any changes for 10 calendar days as KLM was blocking them out.

Today, I found a Delta itinerary that actually fits our plans better than the original flight. I called back and got my original flight canceled and the new one booked. It still took 3 agents to get everything settled but I can't imagine how much worse the whole experience would have been if I had booked through Expedia or Kayak or any other 3rd party.

Now to hope nothing else changes between now and our departure.

[soco]

An important note is this will not work with budget airlines, easyjet or the likes. They won't do the travel agent for you and you will struggle to get any cent back in case of trouble.