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I'd say it all comes down to whether you trust Steam or not. Valve has all the control and you don't actually own any of the games. You can pretty much trust them but should any trouble come, you could be screwed. Of course Steam isn't all bad and it has tons of good sides, too, including low prices. Unless you have trust issues or too little money, I'd advise you to go with Steam. Should you go with piracy, though, I won't condemn you - I'll never do that as long as DRM is present, and Steam is a form of DRM.

ishiki said:

If you steal popular games, you will get caught and a notice sent to you IP provider (atleast in US).

It's not stealing. Theft removes the original copy, software piracy doesn't. Also, there's a reason it's not called theft in the law. And finally, I doubt what you say is true because I've generally heard very little of anything like that happening.