andreas_bergstro: Well I've had problems with other games going nuts on the DPI (UT 2004 for example).
Wishbone: Ah, so you just mean the resolution? I thought you meant that type of display specifically. I wouldn't think it was a problem. UT2004 only supports up to 1680x1050, but it hasn't "gone nuts" on me even though I have a FullHD display. I even got it running in my native resolution by editing the .ini file.
As for GOG games in general, it's impossible to say. GOG doesn't make the games you know, so some games might have problems coping with the resolution (if the developers have been short-sighted). If one DOSBox game works fine, then all of them should, I think, but with other games I have no idea.
Hmm, yeah, I'd imagine that on the insanely high resolution of a Retina Display, the only potential issue would be that games running in windowed mode might look really, really tiny. That said, from what I've heard, Boxer (the app whose technology on which GOG's DOSBox OS X releases are based) works fine on Retina Display Macs. All in all, I wouldn't worry.