Personally, I find Steam a better experience than non-Steam games. They're always patched (without each publisher having to come up with different ways to patch games), and things like Steam Cloud means you never lose game progress.
Plus, the offline mode works, assuming the game doesn't have another form of DRM.
However, just last night I fired up BioShock 2 for the first time and Valve have been forced to include Games for Windows in it... my broadband being down until this morning, I carried on without signing in to GfW and played for about an hour before finding out that I can't save without GfW... REALLY?!
To make matters worse, I tethered to my phone so I could sign in to GfW and guess what happens - after waiting for five minutes for a mandatory update to GfW (having only downloaded it a few days ago), it prompts that the GfW account has changed and boots me to the main BS2 menu...
I was seriously pissed - not sure if I can be bothered to go back to BS2. I'll certainly avoid all other GfW-encumbered games in future. Why the hell would 2K (MS?) insist on TWO forms of DRM?!