I'm a big fan of Steam.
For those who have never used the service, Steam is the PC game equivalent of Itunes.
Instead of schlepping to the corner gamestop, or even buying from Amazon in the comfort of your home then waiting a few days for your game to arrive, you pick a game, pay for it, then download it.
With my DSL connection, this still takes a few hours for many games but its still the fastest way to get a game.
Probably the biggest benefit of Steam over other download services for games is that games are tied to your account, not your PC. This means when you get a new PC, or if you want to play a game on your laptop and your home desktop, you simply download the game to the new machine and continue playing.
Your saved games are local, but most games seem to allow you to download them to multiple PCs.
I've used gamestop's game download service and Direct2Drive and neither of them have this feature. Popcap games also go away when you get a new machine.
Steam has both made me aware of games I'd never have heard of otherwise but also put me onto some really cheap games. I've been playing a ton of Port Royale 2 lately, which is a very Sid Meier's Pirates-like strategy game of buying and selling that I got for 4.99.
I also got Dark Messiah of Might and Magic which is sort of a first-person action RPG. The game isn't great but again, it cost me 4.99 so I feel I've gotten my money's worth and more from it.
Lastly, I've gotten Sacred, a Diablo-like game that does a lot of things really well. I think its probably better than Titan Quest, a Diablo-like I also thought was well done. This one was "pricey", meaning I got the Gold edition (the original Sacred plus its expansion) for a whole 9.99.
Now don't let my cheap-ness let you believe that Steam is just for older games or indie games that don't charge a lot. I also downloaded Fallout 3 from Steam, which ran me the full 49.99, meaning I probably paid more for it on Steam than I would have on Amazon. Still, I bought it and was playing it that night, which is a huge plus.