I've done both and as far as I understand it, here are the differences:
If you buy from some place like MacMall (which I recommend) you usually get free RAM upgrades which is nice, and then a bunch of stuff you may or may not need, like a printer and you don't pay sales tax (companies are usually in NJ or Delaware or something).
You can't customize the computer much beyond RAM.
If you buy from Apple, you can get custom configurations like bigger or faster or hardrives or some combos of features that stores don't offer. That was why I bit the bullet and paid more for my last one buying directly through apple, I wanted a faster hard drive than stock.
Warranty is the same. If it's a laptop, I'd advise getting Applecare. Doesn't seem worth it till a screen or something goes and you get it fixed for free instead of $500. Plus Apple is really good about returns and repairs, sending you a nice box with shipping label etc.
If you want stock, shop around for a place that will double your RAM and give you free shipping and no tax. If you need it custom, go with Apple.