I agree 100% - a real amp sounds and feels a lot better when tracking guitar particularly for generating natural harmonic feedback and sustain. I get zero sustain from my Tannoy Reveal monitors when recording DI but I did get good results using a high end set of Genelec's at a local studio.
One thing to consider though is that an amp will sound completely diferent in a different environment and or room. Eg, I have a cheap-ass Marshall MG100DFX - it does the job with a not too bad tone. However, I brought it to a studio once, cranked it about half way and the tone was absolutely stunning, perfect in every way, the engineer was very surprised but explained it as being a 'sweet spot' placement in the studio (in between two door ways from the control room to the live room). The same goes for monitors, their placement, height, volume, room accoustics etc. can have a massive impact on the tone and potential of achieving those sweet harmonics. Of course, the actual sound from the monitors themselves has a lot to do with it too!
A lot of people bitch about direct recording but I think it's great, no fumbling with mics and amp settings/placements - plus the tone is always the same. THe only downside as Kevin said is the lack of harmonic feedback and reduced sustain. I've owned a number of DI units (PODxt, BOSS GT-Pro, Digitech GNX) but for me, the only one that actually 'feels' like playing through a real amp is the Rocktron Prophesy II - not cheap though. It does manage to give me the feedback/sustain but not to the same degree as a real cranked amp.