The obvious benefit to a Steam user is that the game will auto update for you. Nadeo do update the game fairly regularly so this will save you the effort of doing it manually. You can also purchase the full retail version of the game known as Trackmania United Forever. This will allow any custom modifications you uses in teh game visible to other players. Along with a vast number of other game modes and car types, including stunt modes and long road race versions there is a lot more content than in the free version. If you use any custom skins you can of course see them locally on your machine - just no one else will see them. The game costs around £10 / $20 at this time of writing.

You can of course head over to the official home page of the game which can found at www.trackmania.com. Here you will find a full standalone download of the game.