I don't have any Fallout games, is it better to get the Fallout Collection on disc, steam, or each game individually on GOG? Any differences between the various sources?

It's easiest to modify if you don't get it from Steam.
Personally, I bought a collection set on Amazon long before I knew GOG existed. That's probably the cheapest way to get them all, but there's no guarantee that the box set will be fully compatible w/ your PC.
Right now, I'd recommend you just buy Fallout 1 only from GOG while the Holiday Special deals are still up. You can get the other games soon after if you find you like the first one.
The differences between versions is mostly in how much support you get.
Disc: Support from fansites only.
Steam: Not much support.
GOG: More support than you probably need.

Keep in mind that Fallout 1 & 2 are RPGs with some turn based fighting.
Fallout Tactics on the other hand is a completely different game which is almost completely about the turn based fighting and only has a few RPG elements.
I bought the Fallout games here during a promo due to it's huge popularity here.
Fallout 1 & 2 were the first RPGs I ever played.
Including the freebies I have 60 games here, but FO 1 & 2 are still my best buy.
Although I think FO Tactics is a good game (I rated it 4 stars), there are better games in that genre.

I would also recommend that you apply the children's patch, as GOG's version has them removed, and it makes some quests and features unavailable.