Anyway you like as long as you no distributing engine source code. Most simpiest way is to get a server and host it yourself on HTTP server, but mothly transfer limits might be a huge problem. In case of Steam, you can’t just publish game there (or else you pay them a lot :p), but theres something called Greenlight:
Where you submit a game and other people jurge it, if lot of people like it, it goes to Steam 
But search, you might find other distribution ways, maybe Microsoft store in Windows 8? but i don’t know there rules
On mobile it’s a lot easier, for Apple you pay 99$ per year to bring your software to AppStore, for Android you pay 25$ once.
Linux is also special case, if your game is free you might try to find repos (each disribution go diffrent repository system) which willing to host your game.
You quastion is very wide as there many ways you can distribute your game