Both are good. When you're small, you don't have much of an audience, so you rely heavily on other distribution channels. Small indie devs like Amaranth Games and Aldorlea only take a very small part of the sale as their commission. Larger distributors like Big Fish and Steam take a heavy cut. But once you get out there, make sure you do have a site for people to go to - you'll often get people looking for the dev's site if they like a game, to see what other games you've got. This is what builds the community. Make sure you're there often, helping people who need assistance, and talk about your next game. If you don't have other games available, but people can see you've got something coming, they'll become more engaged, hang around, and you will grow your community. Once they are loyal customers, many of them will buy directly from you, even though they know they could get your game cheaper elsewhere.
Selling on your own site -> lower numbers sold, but you get to keep most of the income
Selling on an indie RPG site -> higher numbers (because they've already got an established audience), but you have to give away some of your income for their commission
Selling on a large site -> MUCH higher numbers sold, but you have to give away at least half (sometimes up to 75%) of your commission - the sheer volume of sales still makes this appealing, even after you are well established and have a strong community - you just cannot compete with the audience on Steam and similar large sites.
Your goal should be to rely on others while you are building your community and your reputation, and then to continue relying on others once you are established, but keep your loyal customers coming back to your site.
