Buy directly from developers when possible (so that they get the money) and buy from Steam itself otherwise (sometimes you can get steam keys for less from reputable sources and sometimes you run into scam sites that want to infect your pc with viruses and steal your children...why screw around and take chances).
I used to hate Steam but now I love it and I buy most of my games thru it. I prefer to buy directly from developers when possible so that they get the money but distribution and patching are usually enough of a PITA for people that they just use Steam for THEIR convenience. One thing is for sure, I buy my games digitally and download them and don't miss retail or physical media AT ALL.
I own and buy a lot of games, a lot of them indies. It's convenient to have them managed in one place and nobody has as good of game management (as far as updating games) as Steam (for both players and developers, the convenience it offers devs for distributing patches and content is one of the reasons it got to be so popular).
I used to shut steam down after finishing games but now I often leave it running. It's harmless. I have a monster PC that could run multiple premium games simultaneously so having Steam running is trivial. The benefit is that if games do get updates it just happens and never slows down firing up a game. I just check my library periodically to see what's been updated. I also like to check Steam regularly (often once a day) for sales and deals because getting excellent games at huge discounts is always nice.
I remember back when you would download patches and apply them yourself (if you followed game news or forums and KNEW there was a patch at all) to games and every dev had their own mechanism, then games started having custom update facilities within the games themselves and that was always different from game to game (and a waste of dev time that could be spent on the game itself). Steam is by far a better mechanism for updating and content than having a different, often clunky, system for every game. As wonky as those old systems were for players, it was far worse for developers having to bundle patches or build in patching and hope that it would work for every horribly built and maintained PC on the planet. Offloading that to a 3rd party who specializes in it and does it very well is a dramatically better idea for devs and customers.
Lastly, as a software developer myself I have zero appreciation for people who steal intellectual property (games, videos, music, etc) and come up with lame justifications. I see it as any other crime. Unacceptable. I've never liked being treated like a criminal when I pay for my stuff, and most DRM is extremely lame. Something like the online check that Steam does is way less of an inconvenience than media in the drive and/or the securom style invasive garbage. I can understand companies attempting to protect their products since there are so many scrubs out there that willingly steal (even if there are enough bigger scrubs that facilitate stealing by cracking DRM and sleazebags that host illegal software). If there must be DRM, I'd rather it have as little of an impact on gaming as possible. Online checks are considerably less painful that more barbaric alternatives.
Elemental Forums
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Stardock Forums
I was going to ask whether Steam was "short-changing" me, but --- could someone clarify --- I'm now thinking that this is a "bytes" & "bits" issue? Is it that the download speed is being quoted in kilo-Bytes/s while my speed is in mega-bits/s, so 300KB/s equates to 3Mb/s (I allow 1 byte == 10 bits, to cater for extra parity bits, which probably died out when I stopped using a dial-up modem? )