There are or were many agents who would get certificates for you. When you didn't live in the UK and payment had to be by Sterling cheque, the easiest way to obtain certificates was through an agent. With online payment, the situation changed dramatically. Getting certificates direct from the GRO was cheapest and quickest.
However, now that more local registry offices are putting up local indexes and making it possible to pay online (though the two don't necessarily go together) it makes sense to get the certificate from the local registry where this is possible as the GRO certificate is a copy of the local one and we all know mistakes creep in during copying.
What I don't know is whether the local registries give a photocopy of their entry or a modern copy. At least the GRO now gives you a photocopy of what they actually have rather than a modern copy.