Depends on what you want.

GOG does DRM-free stuff. It also gives you more control over when updates occur (unless a game updates itself and forces some kind of update, GOG won’t do that). That probably doesn’t matter much for the original Fallout, but some people playing heavily-modded newer titles like deferring updates for a while; you can do that on Steam, but it’s kind of fighting the system. Though…I haven’t used GOG much recently, so I may be out-of-date on their client software; I just use an open-source Python program to download games. GOG hails from Poland.

Steam “does more stuff”. It defaults to pushing out updates. It provides a lot of functionality (like a controller configuration interface, a Windows compatibility layer on Linux that “just works” more than base WINE; I’ve had a better success rate of things “just working” than with GOG. It has built-in modding functionality which many games – not Fallout – use to distribute mods. Steam hails from the US.

I think I may own a copy on both services, myself.