FWIW many game developers would genuinely rather you pirate the game than buy keys on the ‘grey market’ sites. If you’re not going to pay anyone who deserves it, you might as well just not pay anyone..
It's not the shady sites that resell free or international keys, etc. I specifically didn't link to those (they're easy to find, but of questionable ethicality and usability).
FWIW if the dev offers a Steam key on their own site, I'd just buy it that way. But otherwise if it's Steam or one of those authorized resellers, there's no reason to prefer Steam itself. GMG, Humble, Fanatical, etc. have great deals that let me try games I otherwise wouldn't bother with. If they turn out good, usually there's in app purchases and cosmetics I'm happy to support. IMHO this is a good form of price differentiation, letting the base game be widely available for people to buy but selling supporter packs and cosmetics for people who really like it.