no they dont as Skyrim can be bought on DVD. though a lot of games now are requiring steam to install which honestly i think isnt a bad thing as i never had a problem with steam usually so.
Well officially only TF2 and HL2 are supported, and you will need Steam installed to access the content. In the future, this does not need to be the case. In fact, there are a number of unofficial mods that work without Steam (for example Minecrift).