In the last couple of months I've done a few: Steam I have bought 13 games for myself + one for someone else, Direct2Drive I bought one game (DiRT2), and GFWL I bought one game (Dark Void). Only one retail game! Gotta love the support Valve gives Steam.
Just Steam here. Mostly though because I just like to have my collection in a single place/list rather than spread around over several websites. If the other websites allowed me to activate a game I bought from them through Steam I would be using those too.
I'm locked in with Steam. I've seen great deals on the other services, but have passed because the days of buying non-steam PC games are far behind me. Although I'm severely bummed that Blizzard has their own service.
I made an exception for Blood through GOG, because, well, it's the best FPS ever made.