Look at Crusader Kings II, for example. The base game and the earlier DLC are available as Amazon digital downloads, but more recent DLC can only be found elsewhere.
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At one point paradox redistributed CK2 in various forums, including DVD release. This proved inefficient, as they had to update various versions. Steam is the only one available now, and likely to stay that way.
No, those are digital download versions that are available. For older DLC; the newer is often unavailable. (For example, you can't buy either Monks & Mystics, Reaper's Due, or Mandate of Heaven on Amazon. You can buy Rights of Man.)
You can still get most of the games on DVD, they are packaged there by Amazon I believe. They still need Steam to install though.
I always try and get the DVD-ROM versions if possible, it's always nice to hold the game in your hands. Especially with the fantastic game artwork on each case.