Steam isn't the only option. You can also find them on GamersGate (which also has games that DotEmu didn't) and there is also a retail disc with the collection.
Ah, thank you as always, knowledge cat is once again there with great info!
I'm in no way a Genesis collector or enthusiast, but that's a landmark of a console. I suppose the best way to play those Mega Drive/Genesis classics without owning one (and without emulating/piracy) is through Wii's Virtual Console and through the Sonic's Ultimate Genesis Collection, available on the ps3 and x360. Also, if you wanna play selected games, there's the xbla Wonderboy/ToeJam & Earl/Alex Kidd and friends releases, too.
Heck, for a superb experience, get some nitpicked 3d Classics on the 3DS and enjoy the show.
Probably all of the games included in this Sonic's Collection are on Steam/were available on DotEmu (grabbed a few myself/got some for free!) so it's a good way to showcase classics to new gamers alike. Of course, the variety of games available on the Virtual Console is a lot cooler than just SEGA games.
The problem I have with virtual console or other console-based emulation is that it is so tied to the hardware. If the hardware dies, so do the games. What I'd love is if companies would just sell drm-free licenses to these games and BIOSes and let us choose whatever emulator we'd like to run them in. This way I can pay for a game once and be able to access it legally and forever on all my current and future computers and android devices.
And that is probably why they don't do it. I have copies of these games collected across various systems I've picked up over the years. I have paid for MOTW now 3 different times. The buy once, play anywhere, play forever strategy would be great as a customer, but companies don't tend to do what is good for us if it conflicts with what is good for them.