Steam has the DRMs and uses Flash as the mechanism to gain access to the game—something that I personal reluctance toward. Additionally I presume that Steam is taking a chunk of the profit in exchange for deploying it to its customer base. I have my credit card already in their system and can purchase with a click.
Direct Download probably gives the developer the most amount of profit, but then I may have to manually move it around from system to system—I am fairly lazy but I imagine that I could be persuaded. The direct download method would have me use PayPal, which I assume is secure, but I really haven't used it in the past and therefore don't trust it
[Personally, I wish that the game was available on the Mac App Store—I'd purchase it in a heartbeat.]
All that said—which to choose?