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.