StingingVelvet: It's slower, it has no resume capacity, it can offer greater risk of corruption. Using a program like Internet Download Manager or a firefox plugin can save you a lot of hassles. There is honestly no reason for me to use the GOG downloader, as what I use already is better.
The speed has nothing to do with downloading through a browser. It also has nothing to do with corruption (corruption happens somewhere in the middle, not as a result of downloading through a browser), since today's browsers are pretty good at checking streams for valid data. If a download gets interrupted, the browser can usually start off from where it left... for example, IE9 keeps the interrupted chunks and you can easily resume the download by pressing the Resume button, once you establish connection (but this mostly depends on how the download server was configured).
(the example is what happened to me a few minutes ago, was downloading ~1GB SQL Server related stuff from Microsoft's servers, my connection died, it came up several minutes later, and the downloading resumed as expected.)
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STALKER CoP is 50% at GG.