Unfortunately it's often the tax that stuffs up Steam's pricing even on their better deals.  Through Steam we can get the 
Crysis Complete Pack.  This is up for $69.98.  xe.com makes this about £39.20.
If you go to play.com (no delivery charge) and buy both Crysis (£27) and Warhead (£15), that's £42.  I'd guess that, after the Steam purchase taxes are added, I'd be better going with the UK retailer. 
 
I want to buy both as well;  I borrowed antiflow's copy for ages and I returned it to him at LLX. 
 
EDIT: Interesting interview with the one of the Crytek team discussing the lessons they learned from Crysis and the public's response, and how Warhead benefitted: 
http://www.gamasutra.com/view/feature/3 ... aking_.php