Certainly the way to go. Stay in control of your own coins.

Also, Virc, Bter, and maybe other exchanges will "lose" any deposits from a new block coinbase. (They don't count as deposits any newly minted coins without an Input). It's a bug on the exchange's end but it seems widespread. If bitparking ever started paying that way, your payments would vanish.
Right, every time I think "I should move to coinbase payments" my other inner voice says "but then you have the support cost of explaining to all existing users to register new non-exchange accounts".