We went through a broker for our health insurance to get the best and cheapest coverage for DH and I. I'm with Southern Cross and DH is with ING. I personally couldn't be bothered going around all the insurance companies to get quotes, ratings and policies. A broker will do all that for you and then present you with a comparison list. It's not like it costs you anymore, either – they earn a commission from the insurance companies. But yeah, you can totally do it yourself.
PS. Going through a broker has actually saved us $50 a month off what we used to pay all up (business, health, disability and life insurances).