Of course, the coolest thing about Steam is native Linux support for high quality games. Most are old, having already been issued on other platforms (Half-Life, Portal, Trine 2). But I'm not a serious gamer, so they're new to me, and the Linux/OpenGL ports are surprisingly good with responsive controls and frame rates comparable to what you'd get in Windows on the same hardware.
The next coolest thing about Steam is the games are multi-platform. Buy a game once, then download it and play it on as many different computers as you want, even if they run different operating systems. I see this as future-proofing insurance. Once you buy a game you can get whatever new platforms they issue. You don't get this with shrink-wrapped DVDs or consoles.
Other good stuff: Steam's client app (native to Windows, Mac and Linux) has full-featured search with well designed management of your game library and wish lists, and provides MetaCritic data for ratings and reviews. Steam also has community features so you can keep track of your friends. The games are mostly inexpensive, and Steam has periodic sales with 50% - 75% price reductions.
Another neat thing is Steam synchronizes your save files across all the machines. So you can pick up a game right where you left off on a different machine or operating system.
Finally, and perhaps most importantly for me, I like the direction this is taking. If gaming moves away from closed, proprietary systems like Windows and DirectX, to open source systems and APIs like Linux and OpenGL, it is A GOOD THING. Lower cost of entry for both developers and players. Easier ports between platforms encourages platform diversity and means more platform choices for players.
I'll gladly support Steam with my dollars. Games I've bought so far, and I like all of them: Half-Life, Portal, Trine 2, Book of Unwritten Tales, Bastion, Aquaria, Rochard.