Sometimes there seems to be an advantage to booking hotels through the Southwest site, as if there is a built in Southwest discount. However, I always check the room rate via the hotel's own website, plugging in other applicable discount codes (AAA, AARP, whatever other acronym might work). Occasionally the SWA hotel rate is cheaper, but just as often, its cheaper off the hotel's own website -- my experience with LaQuinta is that better rates are available on the LQ site.

As was said before, Hilton is the only chain that will award both Hilton Honors points and SWA points. For all other chains, it is an either/or choice.