Someone needs to make a hack or plugin for steam that sets it up so you can download from other people's sites and still use steam. Example: Buy World of Goo through the site but can download it and play it on steam.
Steam already lets you do that actually. You can go to the Games Tab and click on "Add a Non-Steam Game to My Library..." and it'll create a shortcut on Steam to your non-Steam game.
Also, if you start a non-Steam game through Steam you can still pull up the Steam interface in the middle of your non-Steam game with Shift+Tab which can be pretty useful if you want to have access to things like your Steam friends list.