1. Some bugs haven't been fixed - yet (about to be, I hear).
2. DLC bought directly from N3V, that can only be installed as add-on, will/may not work with Steam version.
3. Multiplayer is confined to same build no. (I think - haven't tried it) - Steam's build differs from N3V's build.
4. Updates: With the N3V version you decide when to update and you deal with it, with the Steam version Steam decides and deals with it. For some this will make Steam inferior, for others it will make it superior.
That's about the size of it.