This week a Googler posed the question, "Should I work on a master's if I'm going to get a doctorate degree?" I know that most of my readers are past the point at which the answer might be helpful, but I'll offer my opinion for the benefit of future Googlers.
There are a few disadvantages to getting the master's first--mostly it just takes longer, and master's students do not typically get the same level of support that doctoral students get. Based on conversations with friends who have gotten a master's and remained at the same institution for the doctorate, some feelings of burn-out are likely--it is a long time to be in one place, and you have to jump through the hoops for one degree, just to start over on a new one.
Having said that, I think that in many cases it is a good idea to get the master's degree first. In the final year of my undergraduate program, I started the process of applying into doctoral programs and did not complete my applications. I took the GRE general and subject tests, got recommendations, polished writing samples, etc., but the process of applying made me realize that I was not ready for that step. A doctoral program is a huge, long-term commitment to an institution and to yourself, and I was not prepared to take that step yet. I decided to apply to the master's program at my undergrad university--I knew I could do it in two years and, of course, it did not carry the anxiety of relocating (my personal life was also in upheaval, which contributed to that decision).
After a year of graduate work, I started my doctoral applications again. Better writing sample. Better personal statement. Better test scores. And I actually had an idea about how to choose a school. Because I got my Master's degree first, my doctoral applications were better, my scholarship was more mature, and I was better prepared to commit to a doctoral program for the long haul. I still had a lot of anxiety starting at a new school and I certainly dealt with imposter syndrome (alas, it lingers on), but I benefited tremendously from taking that middle step. And I got a degree out of it.