I have used steam for a while now. I have bought a few games on it. I have a fast internet connection but the download speed (considering you are spending money on the games you're downloading!) is slow no matter what mirror you d/l from.
An investment in this area by the company would make downloading games a little more appealing.
Some of the games are cheap but some are more expensive than their shop counterparts. Perhaps I'm old school but to pay MORE for an item where you don't get a box, disc, manual or something solid in your hand is daylight robbery. Especially as they don't have to pay manufacturing costs, distribution costs etc. All downloads should be significantly cheaper.
Having said that I do like the fact they have 'events' when items are on sale...