One huge benefit of not running an RX through insurance that hasn't been mentioned is it doesn't count towards the donut hole if you're on Medicare and have their standard Rx policy. The donut hole is what's determining my medication choices, or even whether I can treat certain conditions at all.
IMO, it's really wrong that Medicare recipients and people who have government-related (local, state, federal) health insurance are usually ineligible for the patient assistance programs run by pharmaceutical companies that help with co-pays and sometimes even give the drugs out for nothing.