The problem with Steam is that you don't really own the game but borrow it, user depend from Steam all the time. They can remove your games without warning, block them or anything. You need to be connected to internet all the time, off-line Steam only sounds good on paper. In reality you still need to connect. What if someone (for some reason) loose access to internet for example a month? such person is basically toasted. Forget about choosing what patch you want (important in case of games like Stalker) or un-problematic mods for some games - they need to be altered to be used with Steam.
When you buy game on CD you own it basically for life, if you take good care of it. You can play whenever you want wherever you want and no company from outside can influence this.
When Steam dies one day, all those game you purchased there will be unplayable, dead. It's rather doubtful that they release no-steam fix, since it would make those game so easily pirated. You can say that Steam games are already pirated (which proves this DRM is pointless) and it's true.But remember, companies do anything to stop piracy (look at ridiculous Ubisoft idea), even by crippling users. Just have this in mind when Steam goes to hell.
I can run the risk without problem