I'm going to consider the Legendary Key as well. They state that they're planning on selling it for $20 on Steam, so the legendary key is a bit much, but for alpha and beta access, and a few other bonuses, to support a great developer may make it worth it. I'd like to learn a little bit more first though, especially with Diablo III on the horizon, which I have no doubt I'll be pre-ordering a Collector's Edition of.
EDIT: In case anyone is wondering, according to their FAQ:
If I buy from you directly, can I still play on Steam?
To release on Steam, we must first submit a demo of the game for approval. It is hard to imagine that Grim Dawn wouldn't be approved but, of course, we can't say it is guaranteed at this point. Once approved, we believe it will be possible to work out a deal for existing orders to be carried over to Steam as has been done with other indie developers such as Wolfire's Overgrowth: http://blog.wolfire....growth-faq/#q10
As I said though, we fully expect this will be the case but we obviously can't guarantee it until it happens.