There's a lot to be said for not having your registrar run your DNS. It's a nice perk to not have to worry about a second service, but having your DNS separate from your registrar means that you can switch registrars without having to suffer DNS blackout downtime.

I used to run my own DNS servers, and it worked fine. I now run all of my DNS from Linode, which also works fine. Made my recent transition from GoDaddy painless, since I didn't have to worry about GoDaddy ceasing to respond to queries before new DNS had propagated.