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You can burn your cache files to a cd or dvd (Half Life 1 + all of the mods except Condition Zero will fit onto one cd), or you can use a built in backup utility to burn a backup DVD of everything (or any combination of Valve products).
Half Life 2 requires an internet connection for Steam to unlock the game anyway (so people that picked it up at Best Buy last week haven't been able to play yet because the game isn't unlocked yet).
If you buy it in a store, you still have to pay taxes. On Steam, it's $5 cheaper and no tax.
When you buy on Steam, all of the money goes right to Valve. When you buy in a store, VU gets a huge cut of the change. In light of events in the last few years/months, my opinion of VU is just slightly higher than my opinion of EA right now, so any chance to screw VU out of money while still supporting the developer is a GOOD THING for me.
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