I went to Egypt last year and also wanted to organise my own itinerary, but in fact I regretted doing so. I booked DUB-LHR-CAI online, but could only book CAI-LXR through a travel agent - as far as I remember, this was with Luxair. However, the flight timetable was subject to change, and we ended up getting the tickets only a couple of days before flying out. We also had to re-confirm our flights by phone while in Egypt, which was hassle, but necessary because the flight time was again changed. If we'd been going through a tour op, this would have been someone else's hassle, rather than ours.
We'd been warned about, but were still overwhelmed by, the number of hawkers at CAI offering taxi/bus transfers to our hotel. It would have been great to have someone holding a board with our names on it!
Also, many of the day trips you might take operate according to strict timetables, as convoys of tourists are given armed escorts across the desert. I'd mistakenly thought we could hire a driver and go at our own pace/time, but if the convoy leaves at 8am, then that's what time you go at - though you might prefer to have a private car rather than share a minibus with others.
I was there in April 2005, which was about 3 weeks before a bombing in Cairo. This may have led to heightened security at the time. Although my preference has always been for independent travel, this was one trip where I felt it would have been much easier and more relaxing to go through an operator. As we didn't even consider going through a tour op, I can't comment on how prices might have compared.