The digital version from the Larian Vault gives a DRM free download (full install package), as well as a separate / optional Steam code, which you can redeem if you are so inclined (ie if you wanted to use the Steamworks multi-player lobby).
FWIW, the Steam version only requires the client to install and patch the game, or to use the Steamworks lobby (if the Steam client isn't running when you start the game, you will just have LAN / direct IP as options for multi-player, same as the DRM free versions).
As Regnox said, the retail version also comes with a GOG key, though if you are trying to avoid Steam, the physical manual would pretty much be the only reason to go retail rather than buy directly from GOG.
The GOG version is DRM free only; you don't have the option of using Steam even if you wanted it.
