Their customer service kind of sucks. Some games you can play in offline mode, but I got kicked out of MW2 multiplayer far too often with 'Lost connection to Steam' messages when they go down for maintenance. They also do a poor job with third party releases in some respects. Their overlay would get me booted from MW1 via punkbuster, and there is no way to disable it on a per game basis which is incredibly annoying. Their Valve Anti-Cheat could be a little less cryptic as well. To this day I have no idea if the Widescreen Fixer app could get me banned in say MW2... I just want to max out my resolution without getting an impossible to play Vert Minus aspect ratio.
You'll get ok support for things like account hijackings... pretty much canned answers for anything else you ask about. You can go to the Steam Community forums where you'll get useless smug shit from 'volunteer mods', which basically means creepy fanboy propaganda.
They let third parties sell their games with extra DRM on top of the Steam DRM. Like Wings of Prey, which I bought not realizing there is a 3 install limit. I reinstall windows at least once a year it seems... that's the kind of obnoxious shit that you're not supposed to be dealing with in Steam. So you need to do extra research on DRM included with games before purchasing.
That said, it's really convenient in most cases. A couple of clicks to install, reinstall, delete your games, etc... Steam Cloud for saves and settings is a great idea that will hopefully be implemented well in more games. They also have really good sales now and again. Their regular prices are usually much worse than what you could get a boxed copy for... these days if it's not on sale on Steam I'm not even considering the purchase.
Also the messenger, community profiles, and achievements are pretty well done and add value for me.