GOG has the benefit of being completely DRM-free and not requiring their application to download, install, or run games. (They have a storefront app, but you can also buy games and download stand-alone installers with a web browser.)

Steam has the benefit of contributing a lot to gaming on Linux, to the point where ditching Windows is now very much viable in most cases. (Games with certain specific anti-cheat systems are the main exception.)

I’m happy to spend money with either of them, for different reasons.