I vowed recently always to take out the rental company's own policy, specifically to NOT have to pay out then claim back. I know it's more expensive in most cases, but I hear a few dodgy stories depending on who else you use. In particular I heard that the add ons you can buy through rentalcars.com are a real pain to claim back from and they actively make it tough for you.
I was actually told this on the quiet at an airport counter earlier this year, by someone who wouldn't have benefitted directly from any sort of upsell or anything like that - just friendly advice. I was midway through picking up my car at the time so I phoned rentalcars, cancelled the excess I'd prepaid with them, and then paid pretty much the same amount direct to the car hire firm.
At the end of the day I am travelling for fun when I hire a car, probably with wife and young son in tow, and I just want the least hassle / most peace of mind.
I've also had a prang in LA (entirely other driver's fault) which could have been potentially nasty, and I was so glad I had full CDW.
Sometimes just pay the toll I say.