DubConqueror: Sadly only the Steam version gives the music files of the game as bonus content, I bought the game on GOG just now and got American Nightmare some time ago in a giveaway, but neither game has the music files on GOG. Why not?
You can get
a DRM-free version on Humble which includes the soundtrack. If I remember correctly, you can download the soundtrack (and all the other extra content) directly from Humble. I'm trying to verify that, but Humble is being a pain in the ass - I had to fill in a captcha just to log in, to I have to wait for that verification mail in order to access my library. I'll get back to you once I can actually access my library.
edit: After repeated attempts, I finally received a mail from "Humble account protection" (which should be renamed to "Humble account hijacking"). Anyway, yes, you do get the soundtrack to Alan Wake as a direct download in both mp3 and flac. You also get an mp3 download to the American Nightmare OST.
Here's a list of the other stuff the Alan Wake collection on Humble includes (and offers a direct download to - no Steam needed, although you get a key for that as well):
The Library of concept art and production photos
Alan Wake Score
Alan Wake Screenplays
Alan Wake Visual Identity Guidelines
Alan Wake Wallpapers
Cardboard Cutouts
Early Alan Wake Demos
Harry Garrett Show
Making of Videos
Writer in the Cabin clips
Night Springs Episodes
Balance Slays the Demon Music Video
Alan Wake "The Movie"
Night Springs Comic Book
Psycho Thriller Comic Book