PKodon: So, is there some way to get the downloads (like Planescape Torment) to self-test now, or is the GOG downloader's file check the only one we have?
Arkose: The best solution is to download using a download manager (by copying the file URL from the browser's download window and pasting it into the download manager); it verifies each piece of the file as it saves them and automatically discards and re-downloads any pieces that are incomplete, so corrupted files are very unlikely. I recommend
Free Download Manager Portable; I'm not sure about a Linux equivalent but most download managers have this sort of built-in verification.
To verify a file once downloaded, one option is to check the
file checksums with a checksum verifier (e.g.
Checksum Control Portable); I'm not sure about a Linux equivalent but there will be some.
For the new 2.x installers you can use the file's digital signature to verify its integrity (right click, Properties, Digital Signatures tab, details); if it says "This digital signature is OK" you have a perfect copy. This only works on Windows, however; when downloading using Linux you'll have to resort to checksum verification.
The last suggestion regarding digital signatures is the best I can think of, myself. Which would not be of much use in the case of older installers without digital signatures. But then I guess the older installers do the old-style self-verification and this whole question does not apply to them. I also do not know what the situation would be with large multi-part installers, either.
As for the first 2 suggestions, well, that's not how download managers or checksums work, actually.
For a download manager to do something like this, you need a specialized one that has integration with the service you're downloading from. Sort of like the GOG Downloader, in fact.
In case of checksums, one needs a list of known-good checksums for the files to be verified. As far as I am aware, GOG does not provide these. If one could somehow get these known-good checksums, however, and they did match the downloaded files, one could then be reasonably sure the files are OK.
That said, it's possible that the new installers do self-verification on-the-fly when installing and will throw an error if they are corrupted. Doesn't help when you do not always have the bandwidth and need to download the files long before they're to be used, though.
Edit: A quick Google shows that there are ways of automating digital signature checking of multiple files on both Windows and Linux. I will not point out anything specific, because this is the result of "a quick Google", as I said, and not anything I have used before.