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The Steam version is also DRM free, though does require the client to install and update the game; it is not required to play the game, just for Steamworks functions (cloud saves, Steam online lobby and friend invites for co-op, achievements, the Steam workshop for mods).
With the GOG version there is a downloadable installer or their Galaxy client (the client also being required for the online lobby and invite functions, cloud saves and achievements; don't know about mod support).
DRM usually doesn't matter too much, if it is working properly. You might not be able to install a game with DRM if you are on vacation somewhere with no internet access (depending on the type of DRM), and it is possible some future version of Windows could make changes to how drivers are installed which would block them from functioning (preventing the disk version of Beyond Divinity from working in Vista or later, for example, without the DRM removal update) or deliberately block copy protection due to security reasons (which happened for the retail versions of Divinity 2; the original Ego Draconis did not get the copy protection removed, due to contractual issues, but there was a DRM free executable for the Dragon Knight Saga; the later Developer's Cut release didn't have any DRM to start with).