We do ours because we figure we're less likely to fuck it up and not even know about it compared to having the bank do it.

You have to be very comfortable with cash flow (we just pay insurance premium annually and property tax quarterly.) If you think you'd want to budget and divide it all into 12 monthly payments that's probably more hassle/risk then just using the escrow.

Also your mortgage may require escrow so you'd have to check that out.