Not always. If you're a pair of budget conscience travelers (as the OP seems to be), there could be better deals available off-site.
Example relevant to the OP:
My girfriend and I stayed at the Comfort Inn LBV for eight nights in late summer. Our nightly rate was $39 -- compared to $99 ($84
AAA) at Disney's value resorts. Including taxes, we saved $400. Factoring airport transportation ($30pp at Mears), we're still ahead $340.
But our rate (booked on their website) also included two hot breakfast buffet. Breakfast with juice/milk will cost $10pp (half that for VERY light eaters, a couple dollars less for those willing to drink coffee/soda from their refillable mugs) at Disney. Also consider that the Comfort Inn's within walking distance of many good restruants (a burger or chicken strips basket will set you back $7 at the vlaues, get a coupon book and you can get sit-down meals for that price or a couple dollars more) and the rooms included microwaves/fridges (good for storing soda, water, etc. bought nearby and cans of soup, sandwich makings, etc. bought nearby or even brought from home). Bottom line: we ate a lot better for a lot less.
Not to mention our package also included two PI tickets... overall, the Comfort Inn was a decent place (resort-like atmosphere, clean rooms, OK beds and minimal noise). The shuttle service was OK, but sometimes we wanted a little more, which is why walking to the Best Western paid off. The CI also offered service to Universal.
Our total savings for the week was at least $600 -- sure we lost out on the Disney ambience, but we made-up for it elsewhere (good food) and had a great time. $600 goes a long ways when you're a young couple...
The Marriott was one example (and their shuttle service is cheap, anyway). As mentioned, the walk's just a fallback for times where shuttle service isn't viable. And yes, it's worth it. Car rental charge + gasoline + parking adds up...