Agreed. Of course, even if you do get PSD/Illustrator files, the designer should at least make it easy to get the necessary information required to build the page, extract assets, etc. Seen way too many non web designers just hand developers a flat picture with no way of getting the font styles or extracting images and expecting them to just guess.

It's also nice when the designer actually works to a style guide and designs things with a grid in mind rather than some sort of abstract art where even the basic text sizes seem to change on a block by block basis.