I thought it'd be easier within the UK but from what I've read on here perhaps not. I guess I was also a bit worried about what happend last year when those airlines went out of business and because people's holidays weren't a "package holiday" they lost their money etc. Perhaps US is the way to go.
I don't think bookig though an agent is the same as the airline collapse, as a US agent is a "middle man" (in the crudest sense of course) who arranges things for you and get's a commision from the operator.
So, if the agent went under, the booking and payment will still be with Disney, and I can't see them folding any time soon! The only way you could lose out in this situation is if the agent was being fraudulent and keeping hold of your cash and not passing it on.
So, as long as you go with a reputable, recommended company (such as Kevin and the gang) I can't see a problem. But if you were really worried I imagine you could arrange for them to send you copies of the Disney paperwork with confirmations, etc.
I recently booked a vacation through an american agent (The company of a friend of mine but I won't mention them here as they are a rival of Dreams Unlimited) and everything went great. Not only that but as soon as the Buy X get X deal came out, they worked out if it woul;d cost me any more, let me know the amount and transfered over the reservation with no muss or fuss.
Add to that the fact that they are going to arrange thing like ADRs for me, saving me a load of hassle.
I can understand your worries, but I really think a US TA, or if you are feeling more adventurous direct booking through DCL is the way to go.
If you're still nervous, you could always pick up some more comprehensive insurance, just in case...