brine shrimp are best for marine applications when they're newly hatched and still have their yolk sacs attached. beyond that, unless you're gut loading them they're not really that great.
copepods and phyto are fairly easy to culture, and are of great benefit to your tank. you can also culture things like mysid shrimp, but they require more room and care.
i like culturing my own things, within reason, because it is nice to have that as a backup. maybe your LFS doesn't get in a shipment, or the weather is too cold to ship live things. it also helps keeps the costs down, and can be a fun learning experience.