A couple of times recently I had crashing problems with games bought on Steam and I was able to quickly find a solution on the Steam forums. They have sub-forums for all their games and if there is a known bug someone will generally post there with, hopefully, a solution. No particular credit to Valve's support - all the useful info comes from customers but it is still very useful to have a one stop shop for debugging info.
My most recent issue concerned an annoying crash at the loading screen in Red Faction Guerilla. The game used to work for me but a recent patch did the damage. Thanks to this forum post I am up and running again.
I bought RFG during the recent Steam sale. It took a back seat while I was working my way through Dragon Age but now that I have time to appreciate it I have to admit it has absolutely the best "blowing shit up" I have ever seen in a game.