I prefer to buy from GOG, itch, or anywhere else that offers explicitly DRM-free downloads. That being said, a surprising number of games on Steam are actually DRM-free (or as near as makes no difference). They don't make it easy; you need to dig through your Steam folders to copy the files out, and sometimes you need to jump through a well-documented hoop or two, but it's doable.

More info here: https://www.pcgamingwiki.com/wiki/The_big_list_of_DRM-free_games_on_Steam