God news for people of the European Union, Steam has updated their policy about refunds and it is now possible to get your money back for any new game you buy for two weeks, no questions asked. Here is the full policy:
"If you are an EU subscriber, you have the right to withdraw from a purchase transaction for digital content without charge and without giving any reason for a duration of fourteen days or until Valve's performance of its obligations has begun with your prior express consent and your acknowledgment that you thereby lose your right of withdrawal, whichever happens sooner. Therefore, you will be informed during the checkout process when out performance starts and asked to provide your prior express content to the purchase being final."
Update: As it turns out if you want to download and actually play the game you will waive your rights to return the game. So in fact, the return policy is not very applicable in real life situations. If you overspend during a sales event you've got some time to return games you haven't installed though.
Thanks VG247