I very, very rarely buy Steam games directly any more. I used to have a bit of a weak spot for Steam achievements and Steam Cloud (for simpler games that I can play on my laptop), but after a couple of unpleasant run-ins with Steam Support and general frustration with Steam DRM, I decided to avoid it as much as possible. I basically use DropBox and SaveGame Manager as a cloud replacement anyway now, and as so many devs choose to implement multiplayer achievements for games where multiplayer is dead, the incentive to get 100% completion has kinda waned.
Generally Steam will be my last port of call for a game. If it's available on PS3 and better served with a gamepad, I'll buy it on PS3 (recent exception: Sleeping Dogs, as the PS3 version was so atrociously bad). If it's available DRM-free, I'll generally pay more elsewhere.
I bought Kung Fu Strike recently directly from Steam as it was a game I was very curious about, it was 2 euros, and the developer decided to go Steamworks exclusive anyhow, and I went four ways with the Gamersgate Torchlight II bundle, which is also Steamworks, because I'd rather use that than depend on yet another DRM solution with limited activations. Other than that, I hadn't bought a game directly from Steam since June.