Lots of (most?) Steam games don't have real DRM and you can run them just fine without the Steam client. So if you want to, you can usually download the game and then back up the files yourself.
GOG giving you a standalone installer saves you some effort compared to that, but in neither case do you really "own" the game.
GOG giving you a standalone installer saves you some effort compared to that, but in neither case do you really "own" the game.