Personally, this is my preferred method (especially when you only have digital products). For instance, I have my ebook, Make Them Beg To Buy Your Music, a marketing resource for artists and aspiring industry types to learn about making money in the music business.
I did put the book on Amazon, but I get way more sales from my personal site because I get to control how the check out page looks (i.e. I get to explain how much value a person will get in the book and guide them through how the purchase will benefit them).
Sometimes with a site like Amazon, you lose control of that. Amazon can provide more awareness for the book, so it's wise to have it on there, but they will take at least 30% of the profits.
If you have your own website, you can sell your merchandise directly from your there. Through this method, you are able to keep all of the profits and give you the freedom to really do whatever you want with shipping and accepting payments.
It can be very hard to do on your own if you do not have any good experience when it comes to creating an ecommerce website. This is still an excellent option for you to consider.
If you need tips on how to design a checkout page for your products, feel free to look at mine below!