It's... complicated.
1. The odds of Steam going bankrupt any time in the foreseeable future are somewhere between laughably slim and non-existent. Personally, I made the judgment years ago that Steam was less likely to go bankrupt than I was to lose CDs personally. So I see purchases on Steam as safer, longer-term options.
2. Unless it was the Steam game servers themselves that were the dead weight on the company, any plausible Valve bankruptcy would probably include selling or auctioning off their digital distribution; the new owner would have strong incentive to continue supporting older purchases (I don't know if they'd have any legal obligation; their licensing does try to give Valve the right to simply stop providing access to games).
There's also a persistent rumor, which I wouldn't place too much weight in personally, that Steam would provide versions of their games not requiring Steam servers if they went bankrupt. It would certainly be technically feasible. It might or might not be legally feasible, depending on their agreements with publishers. It probably wouldn't be something they'd have the time or interest in doing at that point, and it certainly isn't something their licensing agreements obligate them to do.
3. Games can be played in Offline mode even if every Steam server simultaneously is eaten by space hamsters tomorrow (or, fractionally more likely but still improbable, if Valve went bankrupt next year). So any games you currently had installed, you could keep playing, at least until you had to reformat / change computers.
Finally, I hesitate to mention this but... were Valve to go bankrupt and stop providing support for games, you'd better bet it would be open season for more... legally questionable approaches to dealing with the now-unsupported Steam DRM.
Valve might go bankrupt (unlikely any time soon, but possible; in the long run, sooner or later most companies do). If Valve went bankrupt, you might lose access to your game library (again, unlikely to happen immediately on bankruptcy, but sooner or later it'd probably happen). If you lost access to your game library, that might mean no longer being able to play the games in it (if you were unwilling to jump through any hoops to maintain access).
And one thing we can say for sure is, it's quite safe to bet that you'd have plenty of advance warning of impending shutdown before the servers actually died - plenty of time to download all your games, so you could keep them going in Offline mode afterwards.
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