Never buy on Steam if there are cheaper alternatives on GOG (or others, GOG has the additional benefit of no DRM, reducing possible problems and incompatibilities and leaving the game working forever, even if store and publisher cease to exist, although IIRC, Steam promises to deal better than competitors with this issue, should it happen) or on physical copies either online or on physical stores.
I buy on GoG if at all possible. Even games that also happen to come out for PS4. I don't mind going digital, so long as I am offered fair prices, and no DRM.
Edit: Hell, I'll even take the mild DRM of Steam. Just give me consistent and fair prices. None of this JC Penny Pricing nonsesnse! Price the games at what you intend to sell them at!