Steam has become a giant in the market of digital video games. New games, indie to corporate, are found available on Steam and it's huge market of digital software. Complaints arise over the "online/offline" mechanics on Steam and activating keys to download games and update them on a third party program. Also, the idea that a game developer owns such a large share of the gaming sales comes into question, as well.
I don't hate Steam, I own over 150 games on it. I play games on Steam every day, I love Valve and what they have done for PC gaming. However, that doesn't mean you should turn a blind eye to great companies who are doing it as well, and maybe even better in some ways.
There are other websites you can buy with digital stores and I wanted to name a few.
GameStop and Amazon both sell games that can be redeemed on Steam or downloaded from their websites. I don't have much experience with GameStop, but with Amazon, you just have to download the installer and wash your hands of needing Amazon. No third party program (as are all the sites I will be naming) and it's just as installed from disc.
Amazon is the best site for sales, better than Steam. Just this past sale, I got Bioshock, Bioshock 2 and Spec Ops: The Line for just $10. During that same period, Spec Ops: The Line was over $10 alone on Steam. (Although, it is on sale for $7.50 right now.) I've also got Football Manager 2013 for $19.99, FIFA 12 for $17.99 and FIFA 13 for $24.99 on Amazon. Fantastic sales and pretty basic and simple web browser manager for your games.
Another two that I will mention are Swedish site GamersGate, which is where I bought Victoria II and never had problems with it. When you buy games, review them, rate them you get "blue coins" which are money, and also when you pre-order. I bought sprite packs for free with them for Victoria II and that was a nice addition to the site.
A site I found today, however, really made me happy. GOG.com. They have great classics like Icewind Dale, Bladur's Gate, Planescape, etc. for $10 or cheaper and they are available worldwide. Gamers Gate provides them, but only to the UK or Europe, and which I live in neither.
Bookmark all of these sites if you buy digital PC games and be watchful and diligent. Deals are everywhere and there is no need to corner your share with one company.