Steam sales are unrivalled and you can pick up new games for less than $10 on any day of the week, but a lot of the time, the big publishers (the ones that get big in-store displays for their next release), put their games on Steam at prices that ensure they still make heaps of money from people not going to the real shops. Another issue is dealing with prices in US dollars, which I'll expand upon later.
You can sometimes save a little by going to the website of your local store and it's a good way to spend those vouchers you got last Christmas, but the real value of buying online is in what's called parallel importing. Such imports undercut Australian prices pretty consistently. One example right now is the upcoming strategy game RUSE.
EB lists it at AU$88, while
GAME lists it at a web-discounted AU$79. In contrast,
Play-Asia list a US copy for US$54.90, while
CD WOW sells a European copy for AU$49.95.
Steam's price is US$44.99.
It's important to note that USD prices are susceptible to a plunging exchange rate, such as the crash that happened not long ago. At the moment, CD WOW, with fixed AUD prices, would likely be the most cost effective. However, if the exchange rate is over 90 US cents per AUD, the Steam price would be the best.
Another consideration is region and encoding. Obviously this doesn't affect Steam and doesn't really matter to PC games in general. Many consoles and DVD players are now region free, but purchasing an NTSC copy may still cause problems. Ensure your machine can play the media you are buying. With games, you can tell pretty quickly if the box art has a
PEGI (European) or
ESRB (American) rating. Consider googling a title to see if it is PAL/Region 3 friendly. If you're not sure, don't buy.
The main drawback to buying online is shipping; some items can spend weeks en-route, so it's not a good idea to get a game you're really craving (or to buy as a present with less than a month's notice). Steam's ability to offer games on demand means you get new titles when they're hot; but again, big publishers can undermine this so that a pre-purchased game doesn't "unlock" until days after the retail release.
Of course, there is more than one reason to buy a game on Steam, but by the same token, some people prefer to have a boxed copy.