Physical stores for really old games, like command and conquer generals or age of empires 2.
Amazon for somewhat older games, like BF2, Starwars Battlefront, Portal (that's how I go into steam), etc...
Steam for indie games you can't get else where, eufloria (it is fun, even though it looks boring), audiosurf (very fun with a friend), plain sight, cogs, etc...
I don't like to get all my games digitally because if a place like steam were to go out of business, I would loss all my games. Very unlikely, but I like to be in the safe side, I don't buy a game from steam unless it's really cheap or you can't get it anywhere else.