Get second opinion?

My husband and I have been trying to conceive for 2.5 years and began seeing a fertility specialist last August. We just went through our 3rd round of failed <a href="">IUI</a> and the doctor wants to try <a href="">IVF</a> next, but hasn't found any reason why we're not getting pregnant (calling it "unexplained infertility"). Should I seek a second opinion before trying <a href="">IVF</a>? Has anyone else done this?