I just bought the game and there are several patches available for download. Do I only need the highest numbered one (currently 3.0.165.009), or all of them?

Edit: Or probably none of them, as the game version looks to be the latest, heh.

you are correct. for a new installation you will alwys get the most recent patch. there's no need for you to do anything (except having fun).

Update about related issue: Spent a day downloading all the files, but two of them failed, so I went back to get them again. Before I got the last one, the game version changed, so now I have 20Gb of useless data and have to download for another day. Support said old files are unavailable.

It would be a really good idea to have an overlap period where the last versions of the files are still available to avoid such situations. And the reason I use gog is because I dont want excess programs installed/running if possible, so if I wanted to use Galaxy I would just use Steam, because like every PC gamer I already have it.

Just to clear up any confusion, you don't need any patches on first install.
Just download the full game setup version, and that's usually updated with latest patch

Today 4th Feb 2018 the full game is these files
setup_divinity_-_original_sin_2_3.0.168.526_(18287).exe
setup_divinity_-_original_sin_2_3.0.168.526_(18287)-1.bin
setup_divinity_-_original_sin_2_3.0.168.526_(18287)-2.bin
setup_divinity_-_original_sin_2_3.0.168.526_(18287)-3.bin
setup_divinity_-_original_sin_2_3.0.168.526_(18287)-4.bin
setup_divinity_-_original_sin_2_3.0.168.526_(18287)-5.bin
setup_divinity_-_original_sin_2_3.0.168.526_(18287)-6.bin
setup_divinity_-_original_sin_2_3.0.168.526_(18287)-7.bin

The only patch available on GOG is
patch_divinity_original_sin_2_3.0.165.009_(17943)_to_3.0.168.526_(18287).exe

This patch will only update the full game from DOS2 v3.0.165.009 to DOS2 v3.0.168.526
If you have an older version than the current one, you need to find one of the threads with links to older patches, like this one I made.
All Patches GOG has removed, so you can update from the original release