Depends on the game, steam is usually easier, there are also sites that sell steam keys, a lot of games that come on disc demand you install them with steam anyways after you insert the disc as well.
Steam also easily allows you to uninstall and reinstall the game as many times as you want on as many computers as you want so you don't have to manage a huge collection of disks.
And some games you buy on steam will make you use the other manufacturer's DRM-thingy as well (UPlay for ubisoft games, Origin for EA games). I.e. you bought it on steam, you open it with steam, steam opens origin or whatever, origin opens the game.