Correct installation of modules

I always install modules and themes directly from the web in the admin panel. I copy the link to the .tar.gz file from drupal.org, paste it into the field in the module installation section, and click install... the process runs, localization update immediately pulls in the localizations, etc.
But whenever I watch screencasts by Drupal developers, it seems like everyone first downloads the zip archive, then unpacks it into the sites/all/modules directory, and activates the module in the admin panel.

So I'm wondering... there doesn't seem to be any difference... what's the catch?