Depends on what you want, honestly. While Steam usually comes to mind when thinking about releasing an indie game, it has been infested with awful games that make it hard to find good games in there. If your game doesn't have a great first impression, people will probably consider it another awful indie game without even touching it. If your game looks outstanding, it might catch people's attention, but it's still not the best place to release a game.
If you are creating an indie game with a lot of effort and polish put into it, I'd recommend creating a site for it and investing on advertising. That way the game will have it's own unique image, since it won't be just another indie game among a bunch of awful ones, and you'll get to keep the majority of the money from the sales, since Steam keeps part of the money for themselves, since you used it's platform.
It all comes down to how much you think your game is worth. If it's just some indie game you guys made for fun, put it on Steam and tells your friends about it. If you want to make a big project, make your own site and focus on advertising and taking feedback to improve it further.
