Whenever possible, I buy from GoG, but not because I want to use Galaxy. With GoG, I just download an exe, run the installer, and my game appears in this wonderful launcher called The Freaking Start Menu. It's great.
What do I get from using a client? I don't want my games to be integrated into a social network, I just want to play them, and not be interrupted until I'm done.
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My second choice after GoG is usually itch.io, but my third choice is actually becoming EGS. I'm not sure if this was intentional, but a significant portion (maybe even a majority?) of EGS games don't actually need EGS to run. You can download them with an open-source tool like https://github.com/derrod/legendary, back up the files, and run them. I've personally done this with Journey, Beyond Two Souls, Control, and Detroit.
A handful of Steam games allow this too (one recent example is Ori and the Will of the Wisps), but it's much less common than on the Epic Store!