I use Steam, but if a game on Steam is available elsewhere for the same price I always choose the non-Steam option.
IMO, I prefer a retail disk or Direct2Drive for digital distribution. For UbiSoft games, actually DL'ing games straight from them isn't bad either.
- D2D also has diskless play.
- I don't have to have an additional client or have login to anything extra to play - no stupid Steam update advertisement every time I want to play.
- Games are installed to their standard locations on my PC instead of the Steam sub-folder, so the NVIDIA driver detects them properly. Why NV hasn't figured this on out yet is beyond me.
- My games are not managed by or tied to an account. If you ever have an issue with a single Steam game, you just might have issues with all of your Steam games... With D2D you can buy all of your games with a different account if you like. You can do this with Steam too, but you have to log into different accts to play different games.
- Valve has shite customer service
Valve does two things really well: they make great games and they make a lot of money
The first is true because they are a top notch development studio with good ideas, bright programmers, and an eye for detail. I can't think if a bad Valve game.
The second is true in part because they make great games, but it is also true because they have developed a draconian DRM system, placed very little service/support behind it, and somehow convinced people it was "good" for the customer.