I wish Under a Killing Moon was on Steam. Always wanted to try it.
Buy it on GOG, add it to your steam list of games?
GOG is better than Steam for a lot of things when it comes to classic games and they're the only other DD company I have zero regrets when I buy from them.
Steam positives:
+Playtime is added to your total gamer time on your profile
+Your friends can see exactly what game you are playing
+Easy to just double click on an owned game and get it up and playing in a few mins
+Auto-patching
GOG positives:
+Games are tested and made sure to to work on XP and Vista (steam is up to the publisher; see Jedi Knight issues)
+No DRM, can download as many times as you want and it's just a rar or something you can put on any computer
+Bonus features: Sometimes you get the soundtrack cd, full color original manual scan, wallpapers, etc...
Pricing is the main determining factor of where I buy classic games for the most part. Like I never bought Abe's on GOG because even on sale they were never $5 for both like this weekend's sale on Steam. OTOH, the Fallout collection was cheaper on GOG and had all the cool bonus features. I just check both sites for deals and pick up whoever has a good one. They're both great sites and it's worth giving GOG a chance.
I play ALL my games in Steam regardless of where I purchase them. I like having 1 list (my steam list) of all installed games on my system.