And I can honestly say: more GOG games work perfectly fine "out of the box" for me than games on Steam. I still haven't been able to enjoy Metro 2033 (won't launch), Saints Row 2 (won't launch) or Lumines (no sound) despite the fact that I bought them during the hardware generation they were developed for
As I mentioned, I'm one of the lucky ones for which Saints Row 2 seems to run fine.
Anyway now that I recall, for some reason the GTA games have caused me problems in Steam.
In GTA3, there was some odd bug that the game menus were completely transparent in Win8 (in Win7 on the same machine they are visible). For some odd reason, pushing repeatedly the Print Screen button on the keyboard made the menu text gradually visible again. Anyway, I opted playing the game in Win7, just in case there were any other issues too in Win8.
Then again, I saw someone reporting the same problem from Win7. I don't know why I saw it only on Win8, the hardware and graphics drivers were the same on both.
Then GTA Vice City, there the mouse aiming didn't work at all in Win7. Googling for it found lots of alternative fixes, but the easiest that worked for me was to go to the GTA VC executable, and switch on one of the compatibility options. I think it was the "Disable desktop composition.".