Depends your feelings of DRM; thoughts of GOG extras (often they might have more extras than Steam-versions, if Steam doesn't offer the extras as DLC or something of that sort); if there's one version that's in better shape than the others; if you want to deal w/ GOG not having a client yet (to do auto-updates and others things - updating can be a pain w/ GOG versions i.e. see Outcast); another version might be updated more so somewhere else (i.e. Deadly Premonition has more updates on Steam; GOG version is still lagging behind); maybe you prefer Steam client stuff (Steam is nice for updating, backing up stuff, time-tracking, match-making online games, etc); and other madness. Weigh the options.
I'd say - take it on a case-by-case thing.
Do you like
Steam? Then, expect deals to be better and/or more frequent on Steam-versions - especially on regular editions of games (that are without extras).
If game you looking for is being bundled (on places like HumbleBundle, BundleStars, IndieGala, etc), you'll likely find more Steam-versions out there than anything - so it's definitely possible those version will be likely a bit cheaper in the Cesspool (The CAG trade forums); and/or better off buying the game you want in a bundle cheap that might have other games coming with it (that you could sell/trade over in the Cesspool or just straight-up add what you're missing to your Steam account to play or +1).
About
SrR + Dragonfall in particular - depends how you want to roll the dice here. Depends on if you want to chance maybe getting it for FREE on GOG during this sale; depends on if you really want a GOG version; really want it on Steam; want both DRM-FREE + Steam-keys; or whatever. Humble Store has something of interest there w/ those.
Shadowrun Returns &
Shadowrun Dragonfall there on Humble Store are offered with one purchase both the Steam-key version + a DRM-FREE download directly from them.