The physical aspect of a video game - the disc, the box, and the manual - costs pennies. When a consumer buys a digital version of a game, they still have to pay for its development, its advertisement, and its distribution via the publisher. Granted, the online distribution model is cheaper, but not by enough where you would see any real savings. Given all that, I was never really surprised or upset by the fact that online games cost just as much.
The only way to make online-distributed games cheaper is to cut out the middleman publishing companies altogether, and have the developers deal directly with Steam.