CD player connected directly to Amplifier?

I've been noticing some CD players which can be connected directly to the amp; in many models, its the recommended way to play them. I've never done this, but it seems like a good way to go assuming one has a nice high-end cd player equipped for such a task. I see the obvious advantage of foregoing the expense of a separate preamp, especially in a combined HT/2 channel rig like my own. Is there an obvious advantage in performance? Anyone have any thoughts or experience with this method?