In the U.S., many schools allow students to skip getting a master's degree and go directly to earning a doctoral degree, which is a good option if you're certain you want to earn a doctorate. For example, if you know you want a career in academia, it may be possible for you to find a Ph.D. program in the subject that interests you that accepts students who've earned only bachelor's degrees. In many cases, you will complete the coursework for and be awarded a master's degree in the process of earning your doctorate.
Some advantages to earning a master's degree first is that you can explore your interests and become accustomed to the higher level of expectations in graduate work. Also, you can customize your education by studying at two different universities with two different sets of faculty. However, if you decide to go that route, make sure that your master's credits earned at the first institution will be accepted by the second. Some doctoral programs do not accept transfer credits from other schools.