You might, but then again you might on consoles too. Games cost full retail on Steam. Assassin's Creed 4 is $60, same as for the PS4 and the Xboner. It is, in fact cheaper for the PS3 and 360, only $50. Now, it was on sale for a day on Steam's winter sale for $45 (still more expensive than the Wii U version now) but only for that short sale. If you want it now, $60 it is.
What about older titles? Say, Crysis 2. Only $30 in the Steam Store now. From Amazon? $20 for the PS3/360.
Yes Steam has sales, but they are limited time only sales. Guess what? Amazon, Gamestop, etc all do that too. If you shop sales, and if you buy older titles, you can have games cheaper. You want the newest titles around release? You are paying $50-60, regardless of platform.
Don't get me wrong, I love Steam, I'm a PC-only gamer, I have 200 games in my Steam library. However don't kid yourself in to thinking you spend more getting a Steam machine and the save money on all games. No such luck.
In fact, I'd hazard a guess that on the old generation consoles, you could spend even less if you stuck strictly to older games, because used is an option. Like again take Crysis 2. If you buy on Steam, you pay Steam's price, period. $30 right now, and even assuming a big 75% sale $7.50. Right now Amazon has used copies for sale for $5 for the 360. There are never any used Steam games, since you cannot resell them.
So sorry, but for most consumers it isn't going to equal some amazing cost savings, unless Valve drops their prices a lot. They can't do that though, because they let publishers set the prices and the big publishers require agency pricing anyhow.