[vvanirudh]

If sampling from the density is the only goal, then you are absolutely right. Can directly estimate empirical CDF as you pointed below. But histograms can still be useful to approximate the PDF itself? (taking the derivative of the empirical CDF to estimate PDF is wild as you said)

[andrewla]

Yes, if you need an approximate pdf. I've found that when I'm working non-parametrically (or in robust statistics) I like to stay in cdf space or use quantile functions more than trying to use those nasty derivatives.