Keryn wrote recently about the Electoral College. She read me another piece that is also worth linking to on the subject. This was was from Pete du Pont on Opinion Journal.
Du Pont points out that direct election of presidents would probably lead to candidates focusing only on large cities and the issues important to city dwellers. This would strike at the heart of the compromise forged by the Founders that led to the bicameral legislature. Small states and large states get equal representation in the Senate while representation in the house is aportioned by population.
The other convincing argument from du Pont's piece was the probability of weaker presidents elected by a smaller percentage of the population. Without an electoral college with a winner-take-all system, you'd have more candidates running for a slice of the pie. There is no such thing as a run-off election (which would require a change in the constitution), so a candidate could become president by only winning 15% of the vote in a crowded field of hopefuls. Such a president would lack a mandate that comes from majority votes.
(Incidentally, I tend to favor a proportional allocation of electors as mentioned by gsbbyu in this comment.)
Reach Upward said it well in his recent comment, "Our Founders constantly turn out to have done a pretty fine job." Amen.