I try to go GOG first, so I can keep the installation kits offline. There are however a lot of good indies on Steam, and few of these ever get ported from there. Steam workshop is also fantastic and doesn't really have a match on other platforms, and unlike GOG they provide good linux support. Also worth noting that some of the old games on GOG are inferior to their steam counterparts ( see Commander Keen for example ). So yes, I'd say both are good, but maybe prioritise GOG first.