Same here, since C64 times. I get most of my games from Fitgirl, Kaos or Gazelle. Of course I also still have a huge bunch of games on Steam, from time to time I buy games when I'm bored and have the feeling I need to spend some money.
I only buy from Steam when there's a sale. Not because I'm a cheapo but because it's the only way I can afford it. I also "sample" games if I am not sure they will run on my potatotop. If it works and I intend to buy the game I delete the version I pirated. If there were more demos available I wouldn't have to do this.
Retro games? Pure piracy unless I come across something PS1that's cheap since I have one plus I can play them on my PS3 too. I have a GBC but the sound only works with headphones. It belonged to a relative and I have no idea what happened to it. And it's the Pokemon one too. Too bad.