[Hank Parsons]

You would miss some experience... but it's not an amount of xp you'd really neeed, especially if you're a party of six - you rack up more xp for killin monsters than you do as quest rewards except in a few quests in the game. You'd also miss some items that can be handy, like maybe some magic gauntlets and a halbard IIRC. Of course, you'd miss the story too, but it's kind of a fetch thing, once you've done it before. Frankly, in some cases the best role-playing for your character would be the direct assault (perhaps like Olorin's pally). Anything can be justified with some ability score or role playing idea!