You definitely have to shop around for digital content, I don't think I paid full price for a single Xbox One game as I changed my region and bought from other stores (don't think it works any more) but the games bought still do!!
As for steam prices they're ok if you want old or indie titles but AAA titles are not cheap at all!! F1 2015 for instance is £40 on steam but you can buy a steam key from cjs cdkeys for £17.99
I did buy keys for 2 games of another site (using steam enhanced in firefox it does a price check and gives you link to cheapest place), I got the keys within minutes and they work fine.
I got tropica 4 from gog, 3.49 for the game and 3.49 for all the DLC, all the DLC on steam is £45 O_o.