Steam pisses me of in that it MUST be open to run games.
It depends on the game.
A lot of games will run fine just by running the .exe directly (and won't try and start steam in the process)
Examples are tropico 4, Bastion.
Others, which rely on steam for copy protection insist on starting steam if you run the exe. (for example civ5)
I guess you have to then ask yourself which works best
a) No copy protection and free for all to pirate the latest version just by copying the game directory out of steamapps.
Copy protection in the form of a key which requires activation and possibly calling home each time.
c) Copy protection via steam logon.
Personally I find c easiest, but I will admit I don;t like being dependant on steam servers continuing to run.
(Fortunately there are ways around this *whistles innocently*)