Steam is a service created by Valve Software. Steam is a game platform, IM client, multiplayer network, automated update service, and content delivery service. Most games you would find in a store can also be bought on Steam. Once a game is bought on Steam, it is then downloaded to your computer and ready for immediate play. Updates are automatically downloaded and patched as they are released.
Games cost the same as in stores
Games are automatically updated
Don't need to keep track of CDs - If your computer is wiped, just redownload from Steam's network
IM and multiplayer features
All games encoded in a DRM wrapper
If Steam goes out of business, you might lose access to your games