I don't like Steam for two reasons. First, I do like having the thing in my hands (though that is changing due to my discovery of massive music downloads).
Second is the fact that Steam refused to sell to me because my location is outside of the United States. I live in Utah.
That said, it's like the SH3-SH5 arguments. What's best is what works for you. Many Steam users love it, so any arguments against are based on emotions, not facts.