Motorcycle Express has a lot of advantages: It's simple, it's fast, the folks there always get the job done right and get the documents sent out by courier promptly. They are more expensive than doing it yourself, but it's a bit like staying in a hotel vs. setting up camp: You pay more, and in return, save time, avoid trouble, and there are no surprises.
One compromise I have used occasionally (for European insurance) is to buy a month of coverage from Motorcycle Express for about $200 or so, then ride the bike to an ADAC office in Germany, and buy coverage for the rest of the summer for $25 a month. It's the same level of coverage, the only difference is that I can get the Motorcycle Express coverage on 48 hours notice from anywhere in the world just by sending a fax, but to get the nice cheap ADAC coverage, I have to show up in person at an ADAC office in Germany.
It probably works the same in North America - once you figure out where to go, you will probably be able to get cheaper coverage on your own. But if you don't know where to go, or don't have the time to do it, I wholeheartedly recommend Motorcycle Express.
BTW, I had a claim once (bike fell over into the ditch), and the folks at Motorcycle Express went out of their way to get the claim processed and get me back on the road as fast as possible. Heck, it was better service than what I get from my insurance company back in Canada!