You have a choice; Buy a game with Steamworks DRM or don't. That's your choice, and even then games with compulsory Steam(works) DRM forms a minor number of releases.
If a game has to come with DRM, Steam or Impulse would be my first choices. Why? Because I support both systems of delivery and management, and I think they're the way forward for gaming. The only games that are Steam-only tend to be indie releases. You can still buy New Vegas from Direct2Drive or a retail version of it. There's one exception for the PC that I'm aware of, which is F1 2010, but that's all I can think of at the moment.
Meh. I've got Dawn of War 2 which uses Steam and Games for Windows Live. DRM just doesn't bother me these days, and it's not worth getting in a fuss about for the most part. Yes, it can cause issues, but so can your audio drivers or your anti-virus. Publishers are waking up a little, though, because it's becoming more common for DRM to be either removed or neutralised by later patches.
Maybe I've just been lucky with regards to DRM, but the number of people who (Usually!) have issues with DRM are dwarfed by the number of people who don't.
