If you have both a Steam account and a GOG account, GOG is giving you free games (in a sense). If you connect your two accounts, then "selected" games in your steam library will be added to your GOG account for free. Basically, you'll have the game(s) in both places. In their words: "You own the games, so why buy them more than once?"
It's not all games, just games whose publishers are participating in this program. Why have them in two places? In case one place goes down I suppose and GOG is DRM-free. If you use their installations, you don't have to boot up Steam. Right now the service is being hit hard, so it might take a while (days) to finally sync them up.
This process doesn't work in reverse, btw. You don't get "free" Steam copies.
Read more about it.