It's simple. Steam is a method of content delivery that bypasses the often draconian tactics of publishers:
http://www.joeuser.com/index.asp?c=1&AID=21895&u=0Think of it this way, if you buy HL2 through steam, all the cash goes straight to Valve, whereas if you buy a box, a percentage goes to the publisher/distributor.
Imagine your favourite music artist distributed directly?