Whether you buy the game on Steam directly or the disc at a retail store, you still need to connect to Steam to use it, at least initially, as after that I'm pretty sure you can play in offline mode which doesn't require an internet connection. Either way, there is DRM.
...Now if you buy it on disc for a console, there will be no DRM. If you buy it digitally from the PSN store or Xbox Live Market, you'll have to be connected to the internet and the respective online services those console use to play it.
And no matter what, you need to be connected to the internet for updates and patches, so it's kind of necessary either way.