For me the only complaint I have about it is that I have to pay more for a digital product than I can get the physical product for.
I agree, the only game I paid more for on Steam than in the shops was HL2 and the Orange Box (IIRC you got something extra for buying the Steam version, can't even remember what, now).
I mostly pick up the weekend specials.
However, I noticed that FEAR2 was £24.99 through Steam when it launched this week and I couldn't find it cheaper online, so went with Steam.
I hope more titles match the shop prices at launch and I'll buy more of them through Steam... you don't need to store a box/CD/DVD and reinstallation on a new PC/build is a doddle (if a little download intensive these days with all the titles I own on Steam).