In my experience, it's almost always cheaper to book the pre/post night on your own. If you do it this way, you will be responsible for your own transfers to or from the airport, but this has never been a big deal as there are always plenty of reliable shuttle services that can be easily booked on the web...just go to Tripadvisor, and type in the city you're going to and you will find info and customer reviews of shuttles.
Sometimes it's a break-even...for example, my upcoming Backstage Magic I looked into a pre-night and the cost of tranportation from LAX to the hotel, and it was only a little less to book it that way - in that case, I decided to book the pre-night through ABD.
But, on our recent Peru trip, the pre-night through ABD was over $350 per room (we needed 2), and I was able to book direct through the hotel for $135/room and used the hotel transfer for $15 for all 4 of us...a significant savings. We contacted the hotel prior to our arrival and asked if we could be in the same room that ABD would have us in so we wouldn't have to change rooms - they said they couldn't promise, but would try, and we were happy to find they did just that, so it doesn't hurt to ask.
We travel extensively, so are very comfortable booking things separate if it works out in our favor - I realize not everyone would be comfortable arranging their own transportation, etc., but if it doesn't bother you, it's definitely a significant savings (usually) and something to consider.