Torrents could be an option, but I'd prefer to not have to use a torrent to get something I actually paid for.
A download manager would be nice. An app I could run that I could feed my user/pswd to get a list of games that I'd bought, and be able to download and install them with one click, ala Steam.
You don't have to add any of the other stuff that Steam does, just a list of games that I own and the option to download/install/launch would be enough. Of course make this interface optional. A direct download is preferable in some cases.
For a direct download I guess it would be a good idea to offer it in .zip and .exe flavors so that you could download whichever you liked. It can't be that much work to compress the game to .zip, .7z, .rar, and give the option of what one they want.

To be honest, I don't see where the problem with .exe files is. I use Vista, and my machine is middle class at best. I just tried the Freespace 2 installer (~1.5 GB) and took the time: it took 6.3 seconds to launch. No such thing as Vista scanning it for several minutes or even more than a few seconds. Maybe it has to do something with system configuration, I don't know.
Anyway, the best way of course, as has been stated several times already, would be choice. If you have the possibility, just offer .exe and .zip, and everyone will be happy. If that isn't possible, I'd prefer sticking to .exe just because I find it much more comfortable to just execute the file and install than having a zip archive I have to extract myself. I know it's not a big thing, but if I had to chose, I'd go with .exe for the sake of greatest possible simplicity.

I have no problems with downloading either EXE or ZIP files, but the last thing I want is another downloader app using up resources on my PC. I've got way too many already.

Trust me on this one.
You don't want it to be MSI.

I'm happy with .exe files. Like many others, I dont like idea of downloading application. It wuold be nice if there will be a choice between those two.

No downloader program. I do not like dealing with those at all. If you make one, please keep it optional.

I'm against a downloader program much as others have stated. I really have no problem with the .exe downloads.

yeah no downloader program please, i'm sick of all eleventy billion of them, steam, ea, gamersgate, the stardock one, ugh

I agree with you.No downloader program needed.
EXE is good,let's stay so.

I'm against a downloader too. I'm already using Flashget, and the direct download seems to work for it.
Also, Firefox 3 allows downloads to be paused and resumed, so I think a downloader tailored for GOG.com is not really necessary.
Compressing it into a zip, rar or 7z format is fine if it reduces the overall size to be downloaded. But I think people who love old games are very patient dudes/dudettes who wouldn't mind waiting an extra second or five to let the installer execute. :)
Forgot to add:
Torrents are fine actually, if GOG.com is willing to host a private tracker and allow only clients (Azureus, utorrent) who respect the private flag. There are legal sites who hawk their wares using torrents to save bandwidth costs. Of course, this means that we users will have to pitch in our bandwidth instead. And I'm not sure if most of GOG.com's customers are willing to do so.

I don't mind exe files but we should be able to resume are downloads if something happens.
Also there should be an alternative format that will be good for all OS's. By the way is there a way for linux to use exe files?

+1 For keeping EXE downloads. However, a pause-able downloader might be nice for some of the bigger files.

Perhaps you could use self-extracting RAR or 7-Zip?
Both are efficient compressed folder formats, 7z being more so. You could still use installers, except they'll be inside self-extracting archive.

so far there have been lots of negative comments on 7zip. personly i have no idea what it is :-/

It operates mainly at .7z which is open and modular (yay).
The application itself supports lots of other formats too, and it can easily create self-extracting executeables.
Not natively, however WinRAR has a Linux version, and so does lots of other applications.
Hence making PKZIP or some other similiar format optimal :)