The last time I had an actual problem with Steam was during the Christmas sales, when M&B: Warband was selling like hotcakes, and they ran out of licenses on a saturday (IIRC) but kept selling them (One of my friends bought one of the bundles that included something like 6 of them for a significantly reduced price for a bunch of us, and then it turned out to think it was an unregistered demo and show completely the wrong license key) - nobody who got it after they ran out could play it (unless they ran it in demo mode) until Steam and the publisher got around to fixing the problem, which took them until Monday or so. On the plus side, everyone's copies of it were automagically fixed and just started working properly when they fixed the problem.
That seems like a minus, aside from the fact that it was still ridiculously cheap, cheaper than anywhere else I saw it, and for that price I didn't really mind waiting a couple days.
Other than that, the only negatives I've seen are when you lose connection to steam and stop getting achievements as a result - which made me think "But wait... If I bought it somewhere else, assuming that we're talking about a non-valve game, it probably wouldn't *have* achievements unless it was on the XBox 360... So there isn't really an advantage to getting it elsewhere if you care about achievements enough to consider this point."
I especially like the steam cloud feature that uploads your saved games (of certain games at least, such as HL2 and portal) - which came in handy when my previous computer died and I built this one to replace it. The only downside was certain achievement(s)-in-progress weren't carried over (Camera Shy, notably).
I have some games on Impulse, and overall I tend to like Steam better - mostly because I tend to see better deals on Steam, it's easier to navigate the sales, Steam has more features, and Impulse started to add DRM of their own.
I also have some things from GoG, but I haven't bought anything from them since they shut the site down and disabled downloads for several days for a publicity stunt (while claiming they would have to shut down forever). If they feel they can shut the site down for days and disable everyone's ability to download the things they've bought, at any time, because they feel like pulling a publicity stunt or even for any reason beyond "we accidentally the entire internet," if they even think that is something that is acceptable for a company to do to its customers, then they're not the kind of company I want to buy things from (and not the kind of company I can trust not to do it again).
As for GamersGate, I've heard of it, but apparently it has changed some since last I looked it up - at the time it mainly had Paradox games, as it was their own service for their own games. When I was getting Sword of the Stars when the last expansion came out, I looked at GamersGate, Impulse, and Steam, but not knowing if GamersGate would be around in the long run, and not knowing much about them at all (and not really wanting three digital distribution service's programs on my computer), I went with Impulse (for having less DRM and the same price as Steam at the time).
Also, what gave people the idea that GamersGate doesn't use DRM in games?
Do you use SecuRom or any other protection on the games?
Yes, some games got some kind of protection. This is done according to the agreement with the developers and publishers. However, the activation limit that may be on this protection is easily reset by an email to support@gamersgate.com. Any game bought on GamersGate is yours to download and install as many times as you like.