I have used Steam. However, my son lives on Steam. He uses it daily. Steam delivers games directly via it's interface. You don't download or install the game in a traditional sense. It is all via Steam.
Maybe I'm old-fashioned, but I much prefer to download a game file and save it on my external HD or buy the CD/DVD and have the actual game. With Steam, they all reside within Steam.
I guess the good part is that you can log into Steam (your account) on any computer and have access to all your Steam games.
<-------Just jammin to some music....