I don't see the problem, to be honest.. I'm a norwegian too, but I'd rather buy and download the games straight from Steam than going a few blocks down the street to the nearest gamestop or "platekompaniet" to buy a game that is often the same price or slightly more expensive. Boxed games is a dying breed.
As for Steam, I love the idea of having it all on an account where I can click "install" in the UI and within moments it's ready to play, rather than download an install file, and manually installing it. I don't like having games spread all over different digital stores with different ways of distributing the games.. Some provide their own download app, some just give you a big setup.exe-ish file. No thanks!
Well i do have a problem with Steam.. The main thing that concerns me. Is what happens if they go bust and Steam have admitted this that they could go broke. If you have thousands of dollars worth of games you could lose the lot. I know Steam have said they will issue patches but that's for Valve own games. You would then have to rely on publishers like Paradox to release patches for there own games. And if you dont have the discs and you just download off Steam then there is the question if you will be able to access it if Steam go broke.