If you have more than one video source, it's generally more convenient to run through your receiver.
Also, if you are planning on decoding formats like DTS-master, then you will need an HDMI connection from your BluRay to your receiver. It's not terribly likely that your BluRay has two HDMI outs you want to use.
If you are single source, and not running such modes, I see no reason not to just plug it straight in and skip the receiver being in the way.