I dislike how it can hog my CPU. I often have to leave Steam off while running Star Ruler (as Star Ruler uses up as much of the CPU as it possibly can but gets out of the way when you want to do other things) so that the game doesn't lag whenever it checks for updates and etc. No other program I own gets in the way like Steam does with the sole exception of Playclaw. Steam is about as CPU-hogging as a video recording application at times? Disappointing, especially for a program that's supposed to be running 'in the background'.
I also dislike how long it takes Steam to boot up. It takes about 2 minutes on my computer for it to boot, another 10~ seconds for it to load the front page, and so forth. My computer certainly isn't a next-gen beast but if Star Ruler can boot to its main menu in 8 seconds and be in-game in 15 seconds after that from a fresh start, I'd expect Steam to be comparably fast.
Then there's the long page-switch time, the sluggish community pages, and the (in my opinion) ugly new UI.
I can't imagine why Steam requires more than 6 times the length of time it takes for our game to fully boot up, generate a galaxy, and for the player to be playing; it constantly bugs me. (I'm on an IDE-cabled 6400 RPM 120G WD Internal-HDD, which is no prize-winner, but c'mon!)
So that's my spiel.