SLP2000: Supporting devs also isn't something that bothers most people - if that was true, we would not see indie games on Steam/GOG, devs wouldn't need that.
SimonG: Actually, even with the 30% that Steam takes, devs are better of using that service. Doing all the logistics and financial stuff to do yourself is a huge amount of work. The bank fees alone are a huge factor. Not to mention bandwith, etc. Currently, the best we have is the Humble "Store". And a lot of people are buying there to support the devs.
Unless you already have a big infrastructure standing, distributing a game without help is costing you in the end.
And this is without including marketing costs. Steam is pretty much "THE" online store for many and honestly if you land your game there you've pretty much just sent an advertisement of your product (your steam page on the "new games list) to a vast majority of the PC gaming market.
Advertising like that normally would cost you a hefty amount and yet if you land on steam you've got it, plus its a distribution site so it not only advertises but makes you money as well.
I suspect even just getting on Steam Green Light now gets you a massive increase in exposure online.
If you're going it alone and you don't invest in marketing - eh - you've all seen those sites. Good games, often some really interesting titles, but with no marketing you're basically unable to really connect with a larger market. You might get lucky and have one of the big independent bloggers or youtube "lets play" or reviewers pick up your title- but that isn't much you can build a company around.