The situation is different at each hotel and can also be between the different programs - FHR/Virtuoso (though they're often the same).

This means that sometimes you're going to get a better rate on your own, and other times you're going to get a better rate going through an agent. The difference can be significant, however, saving hundreds more a night by going through an agent is not uncommon. This is particularly the case at hotels where the agent has a fixed rate, but the hotel's best available rates fluctuate widely - if there's something big going on in town that day, the best available rates may be extremely high, while the fixed rate is the same. On the flip side, during slow times, the direct rate may be the same or better than the agent's rate. As a result, I usually check both.

Then there are the amenities. At many hotels it's an upgrade at the time of booking; at most it's at check-in. If the direct rate and the agent rates are the same or close, I'll go with the agent rate and have a shot at an upgrade, plus other benefits along the way.

Regardless of how you book, if you know what you want, you should just book that. Anything else is just icing on the cake. So don't book a standard room with an agent for $200 / night and complain that you didn't get upgraded to the $600 / night suite that you wanted. Book the $600 / night suite with the agent and hope you'll get upgraded to the $1,000 / night suite. If you book directly and the rates are similar, you've got no chance at an upgrade and didn't save any money - what's the benefit of that?

The other amenities vary by property. Early arrivals/late departures, breakfasts, spa/dining credits - they're all in the mix, but again, it depends on the property.

Finally, these benefits really only apply at high end places, so if you're staying in 3 stars, you're not going to get much out of a travel agent.

For some good examples that I've posted about here on FT before - IC Sydney: Virtuoso rate with club access was cheaper than the best available without club access. IC HKG same rate as for a regular room, but included a guaranteed upgrade to a junior harborview suite. Ritz-Carlton Philadelphia, rate was (IIRC) $50 cheaper than the best available and I got an upgrade to a large suite.