The B&M stores only carry the big titles, and thats it. Not only does steam carry them as well, but they also carry many older and indie titles. Add in the sales that steam has, and there is little reason to even consider going to the stores. (I got L4D2 on new years eve for 66% off, or $6.80.)
Edit: I forgot to mention perhaps the best part of steam. Put your steam folder on a different drive/partition then your OS, and you don't have to worry about losing your games when you reformat/upgrade windows. You can drag that steam folder around at will, and you don't have to stop and reinstall your games. I've moved my steam folder 3 times now, and you just double click steam.exe, it updates itself really quick, and you're back in business. I wish all my other games didn't need to be installed.