I dislike Steam on principle but due to their holiday sale I own a ton of games on Steam right now. Let me explain things as I see them though:
The big differance is that when you buy a PC game in a store you get a disc in hand with the game on it, you now basically OWN that game. Unless your disc is broken or lost or whatever it's yours. 15, 20 years from now you can dust off your old computer, install, and play your game if you have a hankering to. You also typically get a player manual with instructions to play the game. While most games involve a tutorial having a manual to refer to at times can be a lifesaver.
With STEAM (or other services like Gamersgate, or Direct2Drive) you are basically just getting the game, and what's more your entirely at the mercy of their service. If they go out of business for some reason you lose your game since you do not have a physical "hard" copy of the data. What's more you do not get any docs with most games, IF the game does have docs on steam you either have to use them online, or print them out (which is nessicary if you want them to refer to while playing) and depending on how extensive the manual is, that can ultimatly amount to a bit of a price when dealing with ink cartridges and toner. With many games you might not even get the choice.
Right now STEAM seems to be the most succesful service, but especially with the way fortunes can change at a moment's notice (EA, etc...) it's a bit of a gamble.
Part of the equasion is also that buying games via download costs the same exact price as getting a hardcopy. So basically your paying exactly what you would for the box in the store with a copy you own (and the "rights"/"power" that give you) but your getting very little in return except for the promise that you can play the game as long as the service exists.
Now the reason why I got a bunch of games on STEAM is because they were just doing a sale where some of the games they had were like 75% off or more. I bought a bunch of stuff that was like in the $3-$5 range with the holiday price reduction (and a couple of games that were like $10 instead of $40-$50). I felt that was worth the risk, and mostly I got games I wasn't sure about in general so I figured it was worth the price. Basically getting STEAM ownership for the price of what a rental or two might cost in most cases. That promotion is however now over with. If it comes around again, you might look into it, but otherwise I recommened avoiding such services unless your after an indie game or rare/uncommon title you can't get
a physical copy of from a store.
I mean really, I only find such things worthwhile under an extreme discount. If like their holiday sale prices were their normal prices (given what your giving up) I'd recommend STEAM but I don't see that happening, and if it ever did I'd be concerned that it would only last until they finally forced Brick and Mortar stores out of business (at least for PC games) then they would raise the prices back up again once they were the only game in town.
If your looking at a game like oh say Borderlands for PC (I have it for my console personally), there is no reason to get it from Steam unless it's under a substantial discount when you buy it. I mean why pay the same price as in a store, and then not get a disc in your hand and a harcopy of the manual you can look at if needed without blowing a bunch of ink or toner?