Sudo provides:
1) A mechanism to provide better control over access to root privileges where administrative access must be shared between multiple users.
2) An auditing mechanism to record both operations completed as the root user, as well as failed attempts to perform operations as root (usually authentication failures).
3) A way to remind the user that commands are running as root, as well as a way to avoid accidentally running commands as root, since you're never (without "sudo -i" or "sudo -s" or similar) at an actual root shell.
If you're using "sudo -i"/"sudo -s" all the time, you don't lose anything for #1, and losing #3 is mostly just an inconvenience (it's an extra layer of protection, but it's not even really foolproof even with sudo). Losing #2 (auditing) can be a big deal, though, because, if everything's happening at a root shell (rather than via the sudo command), you lose the audit log that traces what's being done at root. Gaps like that in audit logs should be an indicator that something bad might've happened, but you can't make that assumption if you're routinely doing it yourself, too.