Part of the reason Steam is a lot cheaper is twofold. One, Steam charges a percentage of the sales, but it's not a big percentage. On the other hand, for a console, there's a set price for games, and Microsoft/Sony's cut is a fair bit bigger. Two, related to the cut size and all, console games are all but exclusively physical copy only. With a Steam game, you can get one for dirt cheap because bandwidth and servers while not free are dirt cheap compared to physical media. REALLY cheap. In turn, there's the oddest thing where unlike physical products, the less you sell the game for, the more money you make. Sales of games spike dramatically on Steam once the game is discounted. Since the bottom line of 'production' cost is near zero, that's mostly pure profit. For a physical game like for a console you can't do that, because you have a lower limit of cost of actual production/shipping/etc. You can't go below that, and you still need profit above to pay for everything leading up, so they're almost never discounted. Besides, remember, the physical big-box retailer has to take a cut too of any profits.
That's probably the biggest benefit of Steam, is it's dirt cheap in comparison, and prices go down over time, letting you get the games cheaper a few years later. In fact, that's the other big thing it has.. when there's an old 360 game you want, you'd better hope you can find it used, because they don't produce it anymore so there's no new copies to buy. If it's an xbox game, you're lucky if you can find some of them used. If you DO find a retail copy, it'll be the same price as if it was just released typically, maybe reduced 'for sale' for cheaper but not THAT cheaper. Yet, for a PC, Steam's archive has games from years and years back, and are cheaper over time, so sales can actually go up. Along with GoG (who gets kudos for not having DRM, even the online-ticket system like steamworks) who has those ancient games you loved but would otherwise be abandoned, and for cheap!
I mean, really. Think about how many of those old games from the xbox or PS2 (or heck PS1) you can find. Nintendo does sales of older games on their store, but that's only their stuff and some sega/turbografx stuff. The old console stuff is abandoned, except through 'piracy'. No way around it. PC on the other hand, while a lot of stuff gets abandoned (particularly MMOs who when they shut down vanish 100% even further than some DRM service which can be bypassed) other stuff gets kept and sold further on, to keep it going.
It's why I'm waiting for the PC release of GTA5. Even ignoring that it probably will look better graphically, it'll be better (modding will happen, no matter how much R* fights it), and it'll be cheaper.