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Steam > PSN = Live.

PSN = Free, key games run on servers, no advertisements embedded into our XMB.

Live = Pay for, has advertising in the Dashboard. Far more content than PSN, many more Live-enabled games, more people playing, more people with headsets, many more community features.

Steam = PSN + Live - the need to swap disks when you're invited into a different game, and being able to type a message without using a crappy on-screen keyboard.