I've always had better luck getting financing through the dealership. I've consistantly gotten lower rates than what any bank or CU has offered.
Exactly. The dealers usually have a good relationship (or you would hope they do) with some loan officers/underwriters art CUs and they can often negotiate a better deal. When you go into a CU or bank for a loan, it means you are interested in getting something, maybe. When you are in a dealership, with a car picked-out and price negotiated, there is more incentive to deal beause you are ready to buy NOW. Plus, the dealer can get the banks or CUs to compete with each-other for the business, which is good for you.
I only deal with car dealerships where I feel comfortable with both the sales staff and financing department. I have gone over salesperson's heads to a manager, gone to a different salesperson, or left entirely. If the sales process leaves a bad taste in your mouth, all you are doing is entering a world of trouble at that dealership. How will they treat you AFTER you already bought the car? Pretty obvious...
Anywho. Get financing lined-up AND see what the dealership can do. Nothing wrong in throwing a big net to get the best deal for yourself. Plus, I have found it helps negotiation with the car price because you are just haggling over the price and let them know you have the payment already covered and move on. At that point, they have no idea if you have cash or financing, but they know you are serious and have the means to get the car with or without their help.