Most of the problem is that when you close steam (in it's obvious beta form), it just reduce to your system tray instead of closing.
Right click on the tray icon and select "Exit Steam" to fully deactivate it.
So if I go play another non-steam game online, then it will use bandwith slowing down those other games. That's the kind of "sneaking up" that bothers me.
A valid concern, but steam uses "smart" bandwidth allocation. If you are using your bandwidth then it won't interfere, but if the computer is just idleing, it may download what you have told it to in the background.