I use booking.com the most for hotels and apartments because I can cancel. Sometimes I can't decide what part of town I want to be in, so I book more than one and keep researching until I have found the right spot. (I don't hold extra reservations long...just sayin'.) I love that booking.com now shows apartments and houses via villa.com because I always refer having a kitchen when I travel.
I, too, use OTAs to see prices and schedules, and then I go to the airline's web page for booking. BUT, I close my browser and clear my cookies twice before I search again if I did not book the first time. Too often have I seen those airline prices climb before I have the chance to book.
For cars, I am inconsistent. Sometimes AAA, sometimes the dealer, sometimes even through an airline if the deal looks good. I have never tried Priceline et al. for cars. Should I?
I use RailEurope.com for booking European train passage because I like knowing I'll have a reserved seat on popular (an often crowded) summer train trips. Sometimes I buy Eurail Passes and sometimes I don't. I have had to wait hours, in Paris for example, just to validate my rail pass before embarking. That's less than fun. For local trains and short trips, I buy when I am in the country.