Like SFI I have a preference for direct investing.  The biggest reason of course is that I have an interest and ability in picking individual stocks.  But even if you aren't the most motivated individual in this regard it is pretty easy to come up with a top 10 or even 20 list of solid dividend stocks, simply by looking at the most common holdings in major ETFs and Mutual Funds.

But more importantly like buying meat where every time the butcher's knife touches a piece of meat your cost increases.  Giving up even 0.5% on a portfolio of blue chip stocks  is like giving away 10 - 20% of your return.  

The third reason is that like MF investing ETFs doesn't always provide the intended level of diversification.  You may end up with a lot of the same underlying stocks across multiple funds or stocks that don't fit your objectives.  The only way to control this is through individual stocks.