The CDs probably won't work, anyway. They have older copy protection that doesn't work for the past few years in Vista and later.
I have the CDs, Steam, *and* GoG. For me, Steam is usually most convenient, and it seems to be driving a resurgence in a new generation of Civ3 players, but there are legitimate concerns about Steam as a platform.
As stated earlier, Steam patched the game to work with their multiplayer game browser which had the side effect of impacting one of the text files for mods, but it's easily fixable if you know about it.
With both Steam and GoG, you don't have the vanilla or PTW executables. You can open the saves and mods, and all the art, extras, and included mods are there, but they open with the Conquests/Complete game engine. Which means no RCP, no sub bug, and a few other minor changes. And you can't play PBEM or SGs with others who are using the vanilla or PTW executable because as soon as you open and play it, it becomes a Conquests save which the others can't open with the older executables.