1) Pirate a game + free - slow download - maybe doesn't work, maybe it's a virus - whatever cracked the DRM might cause bugs - multiplayer rarely (if ever) works
2) Buy from Steam - not free + but, cheap + 2 to 3MB/s download speed + automatic updates + always works, always seamless + "defragment game folder" options, etc, built in + fast, free, re-downloads for life (install as many times as desired)
However, I have noticed that Steam's offline mode is rather fickle. I try use it when I'm at my friend's house (lack of wireless and a lack of an ethernet port. Weird, unusual scenario, I know), and half the time "Play offline" simply doesn't work. It's put me in the weird position of considering downloading cracks for games I legally own so that I can play them.
Sometimes I can go straight to offline mode but to be on the safe side, switch before you lose network access.
At highstreet stores it was very difficult to get games for less than £15 or so.