I've bought games from gamersgate, direct2drive, impulse.net, gog.com and steam. Steam doesn't quite have a monopoly yet.
But the only service from this list I like more then steam is gog.com. Steam offers a great service which offers very fast downloads, an easy to use steam app, weekend deals, plenty of community features, achievements... The only thing they seriously fuck up is their price ranges. Direct dollar to euro conversions make me feel ripped of. It also means that new games are always cheaper to get at a retail store. Steam is only useful for weekend deals.
If you offer a service with non intrusive drm, a good community and cheaper prices I'll be glad to buy at your shop. Direct2drive is an example of how not do it. It offers very little community interaction. Their games are country restricted. A £5 game seems cheap at first until you see that others pay $5, it's 40% cheaper and again makes me feel ripped of. And needing both serial codes and activation codes makes things a mess to install. I received 4(!) serials when installing titan quest. Compare that to gog.com where a game plus expansion is offered in one bundle with no DRM. Those games are guaranteed to work with xp & vista. They offer user reviews, fora for each games, advised mods to use... And a game costs $6 even if I live in Europe.
There's room for competition but you need to offer a better service. Not just throw your DRM protected crap at your customers. And while steam is a nice platform there's definately room for improvement.