Steam

Yes. GOG. itch.io. Direct from some other website. That's right.

Steam is very good; but the hidden cost is that you depend on them maintaining their service. If they turn evil, you're screwed. You either have to bend to their will, or you lose your library of games.

On the other hand, GOG and itch.io are arguably not as good as Steam right now, but they don't have any kind of lock-in. So if they start to backslide, you can still walk away with your full library of games. I do think it's a good idea to 'not put all your eggs in one basket.'