I did exactly that. And you are right, buying a la carte came out only a couple hundred dollars cheaper over a year, partly because I have a minimal DirecTV subscription (under $100/mo). Also, what i was uncomfortable with is that if you buy something and later lose interest in it, you've paid for it. Add to that discovery of new stuff is a lot dicier compared to just flipping through channels, I decided to stick with my provider. It just wasn't worth a couple hundred dollars a year to lose flexibility.
Your mileage may vary of course.
My personal anecdote is that my family of eight is in Year Six of saving $60/month (in 2008 DirecTV prices; $100/month in current prices for the same bundle) by doing just that (to be clear, paying for most shows with ads on Hulu, but our "top tier" shows via season passes on iTunes).
The problem with the previous poster who said you can see the "true" cost of shows by buying them off iTunes or Amazon and compare that to your cable bill is that you are not comparing the same thing. You are missing the advertising revenue, which goes to the network as well as to the local cable company (in addition to your monthly fees).
Yes, iTunes (or DVD sales) gives a fairly accurate market price for shows. That price generally comes in just a little north (tens of cents) of what a mildly popular show makes in selling ad time. Even if you were to say that just half of that cost goes to removing ads and the other half accounts for the cable company profits, you would need to watch 100 shows per month, which is 3-4 per night every night of every week year-round, to match a $100 cable bill.
I just can't see how that is a value for anyone. For me, commercials don't bother me much on most shows, so watching a few more commercials on Hulu (recently; a year or so back we'd spend much less time on Hulu commercials than the corresponding network broadcast) in exchange for not paying a monthly cable company fee is a bargain. But even if not, we'd have a hard time coming up with $200 worth of TV shows in a month (accounting for the cable bill and our low-balled estimate of "lost ad revenues").
The main advantage of true a la carte, though, is that the "content bill" is under your own immediate control. If you want to spend more on some great shows this month, you can without affecting your cable bundle for the rest of the year; if you need to cut back a little this month, you can watch less and pay correspondingly less.
The only valid argument for staying with cable - which I do admit is compelling for a number of people - is the lack of live sports on alternative distribution channels. In fact it has been estimated that about half of your cable bill goes to sports broadcasting (see my previous comments on bundling being inherently consumer-hostile if this surprises you). So, if you are a big sports watcher, maybe that makes sense, and you can justify over-paying for all other content because most of the money you are spending is paying for you to have access to your favorite teams (on top of whatever sports-specific packages you might have added on if you are this big of a sports fan). If not, though, why subsidize the sports fans with your monthly fees?