For two key reasons:
1: They have sales that arent always on Live. Like Pac Man CE was half off last week. This week if you buy a 4000msp code you get $10 of you next live purchase.
2: And this is the main reason. No MS Points. You pay for only what you need. A $5 game is $5. Wish the whole marketplace was available like this then i wouldnt have to pay for unneeded points.

However there is the negative affect. Amazon was selling MS Point cards at a lower price. Sometimes much much lower. They can't do that now. 4000 pts ($50) were on sale for $40. Xbox Live 12 moth Sub was $35 at one point. No more tho.

It all works nicely tho. You click what you want purchase it they give you a code right away and you redeem it in the marketplace.
http://www.amazon.com/Xbox-Live/b/ref=vg_nav_hp_xbl?ie=UTF8&node=979417011&pf_rd_m=ATVPDKIKX0DER&pf_rd_s=browse&pf_rd_r=0CNQPV9VKXDX5PA72PEM&pf_rd_t=101&pf_rd_p=473444411&pf_rd_i=468642