Do it yourself, on the Internet, and everything will be fine.
Right?
You can still have your itinerary faxed or mailed to you -- so you CAN confirm that it was done properly.
I've only had one real problem with an eticket. I went from Houston to Chicago and was returning the same day. When I went to check in for my return flight they told me that I needed a paper ticket. It was supposed to be eticket, but somehow they had issued a paper ticket between when I boarded my morning flight and when I was trying to return!
I had to call the travel agency and get them to reissue the ticket as an eticket before they would let me board. To top things off, my engine had burned up that day as I was pulling into the Houston airport! Not a good day!!!
This was when etickets first came out though -- about five years ago. I haven't had any problems since and Continental's eticket check-in is SO easy!
I always book online at Continental.com -- they give you an extra 1000 miles each time you book and another 1000 each time you check-in using the eticket check-in.
The only problem that I have ever had with them is that DAL (Dallas Love) used to come up in addition to DFW (Dallas-Fort Worth) even when you entered the airport code DFW. So, one time I accidentally booked myself to Love instead of DFW. They fixed my ticket and have since changed their website so that it no longer pulls up both airports unless you ask it to.