I absolutely love GOG, but I bought the retail disc from Amazon for $13, and I'm glad I did. Personally, I had no issues running the games right out of the box, but the community patches installed flawlessly, and all the games are already updated to the latest versions, so you don't have to worry about that. After installing the games, I literally spent about an extra two minutes to make them all beautiful.
Again, I love this website, but I can't say I regret paying barely more than the price of a single game in order to get the entire series. However, you ARE right -- You won't get any of the extras that GOG games are known to come with.