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For example:
http://www.gamefly.com/Download-The-Walking-Dead/5003915/
http://www.gamefly.com/Download-Dishonored/5004504/
It says "This installs and requires Steamworks to play", so you'll know that it has to be activated on Steam.
Is it possible that Gamefly gave you an invalid key? I've activated literally dozens of games bought from other vendors and I have never had one that didn't work (well, SR3's key refused to work for region reasons, but it stated the problem clearly). The vendor does seem the better contact here. If they did give you an invalid key, Valve is the wrong party to get frustrated with. They didn't sell the game to you.
https://support.steampowered.com/kb_article.php?ref=7480-wusf-3601
GTA IV isn't on the list of games that can be activated on Steam.