candesco: Some people just want to make a complete dvd with autorun to run the game from that. Just like with the normal disc you buy from a store. And not that you first have to click a file to install, especially the ones who were original released on a cd or dvd.
I don't mind it for some little programs or little games (like indiegames for example), but i do for the ones which weren't shipped in an installer at the first place.
That wouldn't work for most of the older games on GOG, since they need write access to the game folder to write save games, configuration data and that stuff, and DVD's/CD's are read-only unless they're CD-RW - but even those provide very limited abilities to write data on them.
It could work with many of the games released after 2003 or so, since many games after XP became the standard OS started to use the "My Documents" folder for save game data rather than the game install folder, but that is still just a very small part of the GOG catalogue. If you want to run the games directly from a portable medium I'd recommend you get a USB flash stick and put the games on that instead.