The bottom line is: it will usually cost you less in the end.
This is perhaps one of the most overlooked — yet most crucial things that buyers should consider.
Official warranties often cover the movement and any major defects, which can be extremely valuable. In many cases, a faulty timepiece covered under warranty, may even be completely replaced with a brand new one. Compare that with “no official warranty coverage” provided by gray market retailers, who also often have “no return” policies. And, consider that some official service centers won’t even deal with your issue if your watch was not purchased from an authorised Retailer.
An authorised retailer can provide the assurance of guaranteed and complete coverage under the official manufacturer’s warranty. Additionally, authorised retailers generally have access to the entire product listing for the brands they represent.
There are other benefits that vary by store, city, and brand, as well as the customer. Here’s a great article discussing some of them.