ZFR has answered the questions in part, but let me add my points as well.
Leonard03: Hmm, I've seen the threads here complaining about regional pricing, but I didn't see why it was such a big deal. I mean, what's the problem if something cost's less somewhere else, where the standard income is also lower? Or is it that it goes the other way, so things get more expensive where people have a higher income?
The problem has to do with GOG advertising "One World, One Price" (that is, the US price for everyone) as one of their strongest points and policies (along DRM-Free), going as far as to parody another store for having regional pricing, in one of their advertisements. Then, two years ago, they decided to scrap it by introducing regional pricing. The reception was so negative, that GOG eventually decided to implement the "Fair Price Package", which gave countries who paid more than the equivalent US price, store credit equal to the difference.
For instance, before the introduction of regional pricing, Blackguards cost $45 for European customers. After the introduction, Blackguards cost €45 for European customers, which at that time translated to about $60 and would give $15 back in store credit.
And I won't go over whether regional pricing is applied correctly to a country's relative income, because a lot of points have been made already on that matter.
Leonard03: And I would have thought they would end up the same? Here the developers must just set the price in USD since that's the only currency.
No, the American Dollar isn't the only currency here. There is also the Euro, the British Pound, the Russian Ruble, and the Australian Dollar. Having said that, the only countries with almost complete regional pricing here are Russia and the former Soviet Republics, with prices comparable to Steam on almost every game. For other countries with supported currencies here (like UK or Australia), the majority of the games still depend on the exchange rate with the American Dollar. Some other countries (like Mexico and Brazil) don't have a supported currency here, but have a lower USD price on a limited number of games, which is still noticeably more expensive than the equivalent one on Steam.
So, even if GOG added an option to support the Canadian Dollar, the price for Shadowrun: Hong Kong would remain the same for you, as it's not a game that is regionally-priced on territories outside Russia and the former Soviet Republics. You would only see a difference for games that do support regional pricing for all territories here, like Darksiders.
Leonard03: On Steam do they also just set it once and Steam internally changes the prices?
On Steam, the developers/publishers have two choices; either set the price themselves for all supported currencies (and even implement regional locks if they so desire, since they have the power to do so) or set a standard price for the US region (or wherever they prefer) and hand it over to Steam, who will then set a typical price for the rest of the regions.