I've never tried this before, so I thought I'd ask.

Can you mix expansions and base games from over digital distribution sources? Right now, Direct2Drive is offering Hearts of Iron III for $4.99. But if I get it at D2D am I then locked to only getting expansions there? I know Steam would be out due to their own DRM mechanics, but what about GamersGate, Impulse, or Amazon?

It really depends on the game. Steam almost always blocks anything from working with a Steam version, but Gamersgate and Direct2Drive are often interchangeable. It's probably best to google the specific game to see if anyone has commented on it. If not, ask the service directly.

Generally, no. As different DD services may be using different wrappers such as DRM or localised versions (i.e., EU versus US), etc., which are not compatible with other versions.

However, there are of course exceptions (even with Steam). Such exceptions are usually mentioned on the store page (for Steam at least -- such as the DOW games where retail base games worked with some of the Steam sold expansions).

For GamersGate, the expansions they sell will usually work with retail copies but not with other DD sold copies. Again, there are some exceptions, the Neverwinter 2 expansions sold on GamersGate work with the Steam sold version of the base game, etc.

Ultimately, if in doubt, err on the side of caution and try asking the developers as some services won't refund you if you find the expansion doesn't work with your copy of the game.

I think I'll just go for it. I may not even like HOI III so won't want the expansions anyway. It's a gamble either way.

The Hearts of Iron Complete Pack (it's not complete, it misses the last expansion and some on HoI based games) from the last Paradox sale a few weeks ago is still on sale for 27 $/€. Also Hearts of Iron was last week for 5$/€ on sale there.

http://www.gamersgate.com/DDB-HOICP/hearts-of-iron-complete-pack-bundle

Personally I have a better feeling regarding updates to buy Paradox games from Gamersgate, because Gamersgate was created by Paradox. On the other hand I don't use steam, so this opinion is heavily biased. Btw, I can't understand why the latest King Arhur game (Paradox is the publisher) is a steam game and so not directly downloadable from gamersgate.