Although Steam was lucky enough to get the incomplete Divinity: Original Sin 2 first, it's neither here nor there for those keen on a DRM-free copy of the game. Particularly now that you can grab it from GOG as part of its "Games In Development" initiative.
For those on the fence regarding where they should spend their money... that's actually a good question. If you want the ability to play Original Sin 2 from a internet-less bunker, then GOG is the way to go.
If you do have the internet however, you can take advantage of GOG's client, called GALAXY, which comes with a patch rollback feature. True, it's not something you'd use often (if ever), but you never know when an update could introduce incompatibilities with your OS or graphics card, or even break your saves.
And if for whatever reason you change your mind about the game, GOG's 14-day refund policy is arguably more flexible than Steam's "two hours or bust" approach.
Otherwise, there's really no difference. They're priced identically at around the $58-mark, so cost isn't a factor. If you like getting updates thick and fast though, Steam might be the better choice, as patches always seem to come down the pipe more promptly with Valve's client.