Steam was an excellent option for European gamers while the prices were in $ and especially when the EUR:$ exchange rate was favorable. But since they started charging in EUR, their prices became generally higher than local retailers'. Over here in Slovenia (as if anyone knows where that is :), buying through Steam typically means paying about a 10-30% premium, with extremes up to 100% (for example Crysis - 29.99EUR; on Steam, 14.50EUR in local stores).
For the past year however, I've ordered most of my games from the UK. Since the GBP slid below 1.3EUR, this is usually the cheapest option and with the current rate around 1.1-1.2EUR most games can be found for about 20% less than in local stores or about 40% cheaper than on Steam. Sure, shipping takes two or three days, but I can live with that.
I do like Steam and have had zero problems with it so far. I love some of the conveniences it allows - like no play discs to insert, automated patching, backup by simply copying the install folder to a safe location and just restoring it after a system change/upgrade/reinstall, etc. And while the prices were at least comparable or even cheaper than retail I bought most of my games through Steam. But currently it's just a lot cheaper to buy retail.