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~/Library/Application Support/Steam/SteamApps/common/
(Depending on the settings you have to unhide the library folder first)
However, afaik you still require the Steam client for most of the games. If you want to get standalone apps, you need to buy the DRM-free versions outside of Steam. These usually come with DMG containers. In some Indie cases the versions on steam are actually also DRM-free.
Here is a handy list you might want to have a look at:
http://steam.wikia.com/wiki/List_of_DRM-free_games
Depends what you mean with "native". All apps are executables, in one way or another.
DMG are just containers for these files (a bit like zip). There is often no need to install or register something, you just move the apps to application folder. In this regard, you can always create an "Alias" (a shortcut) of the app in the steam folder and move it to the Applications folder.
The problem with Steam games is that most of them are dongled with the Steam client and require Steam to be running. Therefore, these and all other games from Steam are not available as a separate "DMG" but are delivered by Steam directly.