Steam is so much more than just a download service. It has social gaming tools that allow you to chat, interact with communities, take part in match making etc. Through the Steam client you can keep your games automatically updated, manage DLC, other downloads, tools, kits, media, news etc.
You can examine your friends' game libraries, play patterns, achievements, and they, yours. If you choose, you can get alerts when you friends take part in a multiplayer game.
Not all of it works perfectly well, but that's besides the point. The point is that like Impulse, and XBL, Steam is a mini platform of sorts. It is self sufficient, and feels robust. When you buy something on Steam, you feel like you are paying for more than just the game.
The GFW marketplace looks more like a competitor for D2D.
I would never ever buy a game on D2D, because it would feel empty. I'd gladly pay $50 for a game I like at retail, because I feel like I am buying into something, with a game box, artwork, a nice manual, game DVD etc.
What is the difference between buying a game on D2D, GFWM, EA's Download service, and merely downloading something using a torrent? Aside from the fact that you are pirating when you torrent? It is virtually the same empty experience, except buying something off a download services just makes you feel like your money disappeared.
Obviously a Steam purchase doesn't give the same level of satisfaction as a purchase at a brick & mortar, but it certainly feels more substantial than a simple download service.
It still has a long way to go, and can be really frustrating, but yea.