Too many to list. We always try to book direct except for cruises where booking direct typically costs more.
We often book on in country sites rather than the likes of expedia etc. We sometimes find that there are price discrepancies between in country sites and North American sites. We have done this for air, cruises, hotels, packages, etc. We have booked vacations in Greece with a UK travel agent, South African safari and tours via skype and email directly with a South African tour company. Savings can be substantial over what some North American sites or TA's charge. Booking direct with the Aerolineas call center in Buenos Aires (they speak English) saved us 30 percent on our in country fares.
For car rentals it is usually autoreurope, costco, or my former employers retiree corporate rate (best for short rentals in during holiday periods).
We have used Priceline hotel bidding, Hotwire, and Late Rooms for hotels with great success. We have had some very attractive hotel rates by booking on the Marriott, Accor, and Hilton sites. Best offers are typically 2-3 nights in a 4 or 5 star, paid in advance, breakfast inciuded, non refundable. Also had very good rates doing this with 3 star Accor Ibis reservations. It is not unusual for us to shop on Booking.com and then contact the hotel, etc. directly. Often the price is the same but the terms or the room is better, or breakfast is included.
For air we often check pricing/routing on matrixit. After that you need to shop around because we have found that the fare codes/prices/itineraries may not be available on all sites at the prices listed on matrixit. On one trip we tried direct with the airline and several other sites with no success. Finally, after numerous tries we found it on Oribitz...same routes, same price, same price code. The airline did have it, but their price was 50 percent more. Fare codes, routes, and date was identical.