Beyond the moral judgements some people are putting here, I find this question to be quite interesting. Alan Wake ships as a SteamWorks title for retail, which implies particular features for updates, achievements, steamcloud, etc. It's fair to know what features are not present in the GoG version and what are the main differences (besides, evidently, the lack of DRM!)
As for the key thing, there seems to be none included with the purchase of the game (nothing in the email nor in the list of downloadable content in my game list)—so, as far as I can tell, you don't get a key, but I haven't downloaded the game yet.
Post edited May 08, 2012 by TetsuDC