Andrew at uni has his copy of HL2 already and it turns-out that if you buy the DVD at retail (I can only assume this is the same with other backwater countries that are still using CDs) you first have to have an internet connection to register the game with a valid STEAM account. And even after that, you have to keep the disc in the drive when you play (ye, I know).
Obviously the same security requirement (disc being in drive) isn't there if you purchased the game over STEAM. So it makes me wonder wither that would have been worth the extra £5.