Wishbone: "So don't visit shady sites", I hear you say. Well, the site itself doesn't have to be shady. It just has to have some sort of vulnerability which allows users to embed external content in it remotely. Take for instance a trusty, reputable site such as, oh, I don't know, say,
GOG.com. Some of the users who have been here for several years may remember when someone discovered a vulnerability in the forum software, allowing users to embed HTML code directly in a thread title. Said someone were fortunately not malicious, but chose to highlight the problem by exploiting it somewhat innocently, in order to make sure that GOG fixed it ASAP. The result was that, for a while, anyone visiting the General Discussion forum were instantly redirected to a brony site. Someone less benign could have done something much worse, and done so much more easily by hosting malicious code on, say, a free cloud hosting service.
By that logic, you probably shouldn't download very much at all. In fact, you should probably give up PC gaming altogether, as very few content distributors exclusively use their own CDNs. Steam uses Highwinds, PSN uses Limelight, GOG uses Edgecast. All potential vulnerabilities. (I believe GOG used Akamai at one point?)
But that is all moot, because as you point out, GOG's own site has hardly been a paragon of absolute security, regardless of the external CDNs that it uses. I buy from GOG because of what it does, but I would never consider buying anything through the Galaxy client directly, for instance. I know the bandwagon hate for major companies like Amazon is strong, but ultimately, it's very likely to be more robust security-wise than an SME like GOG with less in-house security expertise.
As you yourself pointed out, it was a vulnerability that enabled some benign hacktivist to redirect the forum to a brony site. No disrespect to GOG, but this is the company you would want to host a JavaScript script in place of Amazon Cloudfront? Well, that's what you're getting now.