I have a bunch of games. I buy most on sale on Steam. I find it convenient and even find the Workshop nice for games like Civ V.
However, Trainz has the CM, so doesn't need or use the Workshop. I had patching issues with 2009 long ago. I am not sure how up-to-date the Steam patches are compared to patches for the stand-alone. Of course, Steam makes patching a bit easier, but perhaps that is more the case for games that are not designed so much as stand-alone.
So, if you want to buy games, I personally recommend Steam. If you want to buy Trainz, I recommend going direct.
Also, if you are willing to wait a couple of weeks, perhaps you should check out the Kickstarter page. There are some nice deals with Get Trainz Now (the current 2012 version) and the next version when it comes out. I know this is more expensive now, but ultimately a price savings if you think you will want the new version later on.
If not, it is on sale now both places, and might be a bit cheaper on Steam, but that might depend on locality too.