There are good deals from time to time, especially with Valve stuff sure, but the majority of games are normally priced. Right now you could get Telltale's Sam & Max or Monkey Island games at a much much better price at gog.com (there's a sale, granted). Various games I'm interested in still cost as much as anywhere else. For older games actually boxed copies can be cheaper sometimes.
Just saying, when the norm before was you buy a CD or DVD and installing it on two computers was fine, it'd be cool if steam could say let you link two accounts so that you could share single-player games. Since that's the modern equivalent of installing a game on two computers.
As for the clicking on the .exe thing, I just tried that for say Secret of Monkey Island SE, clicking on MISE.exe, and it then launched steam and said connecting to my account.
So, I imagine, if I installed games from my brother's account, it'd try to login to his steam account. And have I mentioned he's always playing online games on steam? =P
Steam has a lot of drawbacks.
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One Piece: Pirates with style!
-= Metal Gear Solid: Tactical Espionage Action =-