Well, my favorite is clearly GOG. You're here, you can guess the reasons why. I like GamersGate and Direct2Drive about equally. After that, I resort to Steam if I absolutely must. I dislike Steam for a myriad of reasons, not the least of which involve being banned from the forums for no real reason, and having my community privileges revoked earlier this week for the next 1/4th of the year.
"Abusive content" apparently, but I only had a statement saying that "I'd been banned from the Steam forums, and due to my treatment by the moderators, will no longer be buying from Steam, and recommend GamersGate, Direct2Drive, and GOG as alternatives". I had five pictures from Sanctum, my YouTube account linked (none of which had anything really offensive), a good number of well-written, unoffensive recommendations, a handful of groups, and the same avatar I use here.
So now I have no avatar and can't use community features until November, so I've uninstalled Steam for the time being and sent a message to support, who will undoubtedly not give a damn in the most callous and robotic way they can.
I already stopped buying credit before the Summer Sale, and still have a good amount of credit left for any purchases I can't get elsewhere before I quit buying from them entirely. The verifying, the client, their approach to support, their forums, their attempts to monopolize the gaming industry by getting people to actually prefer Steamworks and spreading themselves into the retail market.
All said, they're still better than Impulse, Greenman Gaming, GFWL, and most of the other stuff out there, but after buying countless games from them for half a decade and practicing perfect conduct in the community, only to suddenly be treated like so much shit, I'm not giving them another dime, and it's my sincere hope that I can convince as many others as I can to do the same.
I used to love their service, as I learned about digital downloads after having bought Half-Life 1 Anthology and liked all the features and convenience of it, but I became wise to better alternatives and took to encouraging others to check out greater sales, drm free versions of games, and superior services. I recommended Steam to so many friends, who in total have bought hundreds of games and regularly play together through Steam's community, but now I feel terrible, terrible guilt for what I'd done.
Their sales are amazing, yes, but sometimes I wonder if it's worth the savings...