Steam is a application you download to your computer that allows you to download games and play them from any computer on your Steam account.
Pros: Your software is available from anywhere. You can use it from multiple machines.
There is lots of multiplayer mode going on and Steam games formerly available only on other platforms seem to be coming along.
Cons: Your software is tied to being logged in to Steam.
If you accidentally download a game for the wrong platform, the Subscriber Agreement states no refund, even if the game can't be downloaded to your computer and shows zero play (Steam keeps track of how long a game was played).
Tech support (and the Forum help) is slow and SP (single player) play is iffy. (For instance, the "Insurgency" game can be played only in "practice mode" as SP, and multiple maps are only available after playing the first map repeatedly.
Consensus: Most games are available for Windows, check your Platform and OS requirements twice before ordering. Great multiplayer opportunities. Refunds are issued only back into your Steam account.