Check both, if the game is available on both, then I will get it on Gog.
If not, Steam it is!
I have a few games I enjoy so much that I have bought them several times, including on both Steam and Gog.
An example, back in 2004/2005 I bought Unreal Tournament 2004 on CDs, then when I found it on Steam a few years later, I bought it there as well as I wanted a modern installer, finally I found it on Gog without DRM yet another few years later and bought it there as well.
I love that game and wanted the best installer for it, especially without DRM.
Fun fact, Unreal Tournament 2004 has a native Linux version on the retail disks, you will find a bash install script in the root on one of the CDs