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I really hope that Steam games don't head down this path over time. Internet-connected refrigerators I'm willing to avoid, but that's not the only vector for this sort of thing.
EDIT: And as has been pointed out on here before, some Internet-connected cars are starting to have updates to show ads on their UIs pushed out. Any time you've already spent the money and are kind of locked in and the manufacturer has Internet connectivity to the device and can update the thing subsequent to purchase, you're kind of in a bad position regarding leverage.
They do have a screen and Internet connectivity, but I don't think that ATMs are actually a great route (unless they force people to stop and wait to get their money, which I don't think will fly and will cut into capacity). There isn't much eyeball time on them. The reason a car or a refrigerator works is because you're likely to be around it a lot.
I will say that the rise of gas pumps at gas stations that play back advertisements is pretty obnoxious, though.