The best place to get patches from MS is via their security pages. They provide self-installable executables, likely the ones you'll find on ZDNet and elsewhere.
The same updates that we see on Windows Update are not self executable, but are repackaged so that you can do a slew of them at once. I'm sure there are pros and cons to each situation. Just remember, you are getting these updates directly from Microsoft. So, if you are looking for drivers from a hardware vendor, wouldn't you want to ge them direct than to wait for the vendor to send the drivers to MS to have them repackaged and tested the MS way and then made available on Windows Update? By then, the hardware vendor has new drivers.
BTW, I participate on the beta team for Windows Update, so I'm a little ahead of the curve for MS patches.
-SUO