Both the games they link in the bundle are for Steam, so I'd think so.
EDIT: I.e. if you go on each their store pages.
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Bully + GTA IV Complete Bundle - I wanted to get this but I don't know if it comes with a Steam key. Anybody know? I'm guessing yes because their individual game pages say that you need steam. I just wanted to make sure because I've never bought anything from gamefly.
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