I have the retail version of Painkiller: Black, but bought the GoG version today as a $10 upgrade to a DRM-free version.
I noticed that the "Extras" folder that was in the retail version is not included in GoG's. The extras you can download separately from GoG aren't the same - GoG only offers a small set of concept art. The "Extras" folder also contains concept art, but most of it is different from GoG's extras, and in addition, it has two video tutorials for Painkiller's editor. It appears that these extras are missing from the GoG version.

According to the Dreamcatcher website, the only thing missing from the GOG version of the game is the Penny Arcade poster (the GOG concept art could be different, they don't mention anything specific). There is no mention of tutorial videos at all:
http://www.dreamcatcherinteractive.com/dci/painkiller/black.php

Regardless of what the website says or doesn't say, I've got my retail copy right in front of me, and it has the artwork and the tutorial videos that GoG doesn't, all neatly packed in a folder labeled "Extras."
Also, the retail version comes with a folder "Editor Docs" which contains several manuals regarding the Pain Editor. GoG seems to be missing this too.
Here's a picture of the "Extras" folder contents:

Great question, perhaps you can contact GoG support and ask them? I'd be interested to hear if they're going to include that content.

Any luck? Just curious. :)

So uh, I guess that means wait and see?

Awesome, thx!. :)

Hi Coala,
Did you guys ever figure this out? Just curious.