We've done both. I like the
DCL air package for the one-stop shopping aspect. Also, since we fly in from the west coast, we fly the day before the cruise and the air package includes a night at the Hyatt in the Orlando airport. The price has gone up considerable since our first cruise, so lately we've been booking our own flight and hotel. We still use the DCL transfers most of the time, though.
I think it's best to price it both ways. Remember to factor in the price of the transfers ($49/person?) when comparing the two. The transfers are included in the DCL air package.
Also, you can get your flight info from DCL 30 days before you leave. You can then contact the airline and get seat assignments. While you still don't have control over flight times and connections, you can at least get seats together.
To further what cristit14 said regarding delays, if you do encounter a flight delay and have booked air through DCL, they are
responsible for getting you to the ship. If this means holding the ship's departure for a little while, they'll do it. If (worst-case) it means flying you to the first port to meet the ship, they do that, too. If you've booked your air separately, they'll still try to help, but you're on your own as far as paying for the worst-case scenario. For this reason, many people who book their own air fly in the day before, especially in the winter months, just to be safe.