Have in Canada. Nowadays I just have someone gift me something and I reimburse them via Paypal.
But aside from the issue of bothering someone else, most of the really awesome steam sales last 24 hours, which is too small a window for me.
On the other hand, like EA's PC store, PSN has worked seamlessly for me.
The strange thing with both EA's online store and PSN is that with both of them, I have entered a fictional address in North America, yet they have no issues with taking my money.
Here with steam, I am being completely honest with my details, yet it continues to be a total bitch..
edit:
Something else that is strange: I can only see Civilization IV in advertisements. When I click on, I see nothing. Apparently steam's version of Civ IV isn't to be sold outside of North America. I already had the game, but I was just curious to see the package.