Eh, it's not that bad, I own Gurumin from Mastiff Games on Steam...but only because I saw it on Steam first and didn't know they mirrored it on GOG... When Shovel Knight caught my interest, I went to GOG and got it there.
But yeah, given a choice, I prefer an independent EXE installer that's not calling back to a server all the time AKA permanently requiring an Internet connection, collecting usage and system stats, etc. Steam should be around a long time, but all games are broken without their server... The pirate groups do crack the Steam API out of their games though, if you wait...