the advantages of making reservations/buying tickets trough the airline's downtown office (if your time and place allows and yes I know you may loose the on-bline-booking-mileage-bonus):

1) Get their direct (unpublished) telefon-numbers
2) It helps to maintain their working places (against e-tickets, telefon-centers at places with the lowest wages, etc.)
3) I get to know them / they get to know me in person, we start up a "personal" relationsship: it helps if you need somebody on the airline's side to test the airline rules-limit. Example: UA award tickets have to be honored (booked, miles deducted) 30 days after reservation, but (as I found out lately reserving that UA 2-person-award-ticket for in international first class in spring 99) they can overrule (they arranged the reservation till dec-31).
4) from time to time, they are able/willing to give you something extra: vouchers for inernational or continental upgrades, vouchers for one-time Club-access (often).
5) they put special informations on file for the check-in-agent at the airport to see (examples: to whom it may concern at Thai in Taipe "please try to upgrade Rudi for the segment Taipe-Bangkok as he is one of our preferred costumers here in Switzerland - and I am pretty sure you will get some swiss chocolates in return - your StarAlliance collegue in Zurich" or another time just "please give Rudi our best regards from us with a smile and may be you can arrange lounge-access for him?")
6) they feel responsible and will help if they forgot to enter your frequent-flyer-number or it got "lost".
7) the can/will sometimes overrule sold-out/waitlisted special fares
8) they even may have e free ticket (seldom): when Swissair introduced 8 years ago the "famous" MD-11 their Zurich office gave me an "inauguration"-2-partner-ticket in business Zurich-Los Angeles for trying out this new plane.
9) the will do more than average to help to recover and forward lost baggage
10) they will (on the computer) bring different tickets and hotel-informations "in-line" so that the airline knows how to contact you - or with late connections (but coming in with a different ticket) the ongoing airline knows that you will be late and will (hopefully) have alternatives worked out for you. My example: SFO-JFK on UA with a visit USA-ticket, connection time at JFK only 30 minutes and I have to get from term 7=UA to term 1=LH, JFK-FRA with LH on another UA-code-share-flight ticket; if I am late LH will (hopefully) put me "automatically" on their later flight that day.