I'm noticing that a lot of the games that are on sale this week have a higher base price here than on steam. Like ...

(All prices listed below are in CAD$)
TITLE: STEAM PRICE / GOG PRICE
Timeshift : 21.99 / 27.09
Singularity : 32.99 / 40.69
Gun : 21.99 / 27.09
Vampire The Masquerade Bloodlines : 21.99 / 27.09

There's probably more, these are just the ones that I've looked into.

So the base price (price before weekend sale price) is aprox. 23% more for all the games. That's a huge markup on price.

GOG, please tell me that you aren't bumping up the base price to make the sale price look better. Because that is what it looks like to me. I've always had more respect for you guys than that.

EU Prices in €
Steam Price / GOG price
Timeshift : 14,99€ / 18.59€
Singularity : 19,99€ / 19,99€
Gun : 14,99€ / 18.59€
Vampire The Masquerade Bloodlines : 19,99€ / 18.59€

If I convert the canadian prices:
CAD -> EURO (exchange rate: 0.712)
Steam / GOG
Timeshift : 15.66€ / 19.29€
Singularity : 23.49€ / 28.97€
Gun :15.66 €/ 19.29€
Vampire The Masquerade Bloodlines : 15.66€ / 19.29€

GOG is following exchange rates more diligently than Steam.

Currently on GOG (and with current exchange rates):
Timeshift = 19.99$US = 26.04$CAN (if I didn't make a mistake GUN and Vampire were the same base price)
Singularity = 29.99$US = 39.07$CAN

So GOG right now has a "slight" discrepancy, while Steam has a huge one (in your favor). GOG is not bumping up the price, Steam is not following current exchange rates.

To check current exchange rates:
www.xe.com

Edit: My post might be beside the point if the US prices on Steam are not the same as they are here. I don't use Steam, so I won't check.

The prices publishers set on GOG tend to be higher than Steam's in general because

1. publishers are still afraid of the supposed "piracy effect" of DRM free games
2. removing DRM from the DRM'ed base version and maintaining a separate build means additional time and effort
3. GOG's customers on a whole are prepared to pay more for a DRM free game
4. GOG's sells only about a tenth of what Steam sells of the same game, so they cannot go as low as on Steam if they want to remain profitable.

Btw. don't confuse GOG and publishers. The publishers set the prices, not GOG. Or Steam for that matter.

Because they use the "premium" pricing model. They know some whales will think "oh wow, this is premium pricing, so it MUST be good."
That, and the whole DRM thing.
"STEAM IS DRM" is huge on these forums for some reason. Except the fact that some games on steam are DRM-free and some games on gog are DRMed.

Just for the record requiring a key for online play isn't really drm. Even if the game required a key to install as long as there was no call to a server to check it can still be considered drm free as in 100 years you will still be able to install the game as long as you can find a pc capable of running it. If there is nothing that is locking you out of the game then there is no drm. DRM free doesn't mean you can give a copy to all your friends.

Keys limit how many GOG games there are on torrent sites that have multiplayer. People aren't going to share their key online because then they would never be able to play the game that they purchased.

Don't get me wrong, I like how most games on GOG don't even require a key (and if they do I am hoping that they aren't required to be entered manually) you know, where you try to paste the 24 digit key into the box and it only grabs the first 4 digits because the boxes are broken up. (I am so glad those days are pretty much over).

A lot of the old games have DRM in them. Without the manuals you wouldn't be able to proceed. See Leisure Suit Larry for example.

Correction noted, I was under the impression that GOG removed those drm schemes using modified (ummm cracked) versions for those games so typing any word or number would work.

there are some quick fixes for some but some of the ones I own let you know what you need to put in. :D

The use of the term "DRM-free" for offline games like LSL (online multiplayer is not the subject here) on GOG refers, since the beginning, to the fact that you can download the files from your GOG account and install the game without requiring any connection to an online activation service.

This is valid for LSL. You can download the setup files and the manual and never have to connect online to install / play the game. So calling the game "DRMed" seems, IMHO, a little bit far-fetched.

Though lot of times other stores have better deals for steam keys. IsThereAnyDeal is good place to check current and past deals if you're only interested in low prices.

And they have even a price history telling you for your particular region when games went on sale for each shop and to what price they fell.

My impression: for the games I monitor in my region GOG and STEAM are about the same.

No. The above reasons apply to very few cases. In general, publishers set the same USD price for both GOG and Steam.

The main reason for discrepancies is as metricfun has mentioned above due to the way Steam and GOG handle exchange rates. Steam gives fixed exchange rates. Once a game is set at 9.99 francs it remains at 9.99 francs regardless of how the franc compares to USD. GOG on the other hand updates their exchange rates (weekly?) and changes price accordingly.

So since the value of Canadian dollars dropped GOG prices in CAD had do go up. But do note that this can work in your favour. If for example the value of franc increases, the GOG price would be for example 7.99 but you'd still pay fixed 9.99 francs on Steam.
In fact back when the Euro was strong, this one-world-one-price and real exchange rates was one of GOG's selling points, since many Europeans had to pay what was essentially a higher price, due to Steam's fixed regional price policy.

Also note, that the above doesn't apply for some regions (notably Russia) for which GOG abandoned its policy and decided to do regional pricing like Steam. See above. For a slightly more detailed explanation with numerical examples, check here:
https://www.gog.com/forum/general/canadian_pricing_not_at_all_competative_with_steam/post10

Canada! Hah! I knew the complaint would (once again) come from a canuck. Always when someone complains about Steam games being cheaper, Canada it is...