One downside is that I find Steam's sales too effective. I have purchased a number of games that I haven't even played. I only bought them because they were such amazing deals (and often highly rated games). Just today, I found myself looking over Steam's list of games on sale and wishing that I had some disposable income to spend, even though I know I don't have much disposable time.
Years ago, I was entirely against the idea of purchasing games online. I wanted to have the disks so that I could transfer the game from one computer to another without too much hassle. I am delighted to be proved to be so entirely wrong. If anything, downloading games has made playing on my PC much more convenient and desirable. All thanks to Steam.