For a while, Recettear and Chantelise were sold on GOG, but I don’t think the Steam versions ever stopped using Steam DRM. But the GOG versions appeared a good long while after the Steam releases.
Also some older Ys games had DRM when they first appeared on Steam, but I don’t remember whether the DRM was patched out by the time they were sold elsewhere (on GOG and formerly on GamersGate). I do know that pretty much all the games developed by Falcom are available DRM-free these days, and I know those that are published by XSEED are the same versions on GOG and Steam. Whether this is the case for the games published by other publishers (NISA, Aksys, and Mastiff) I’m not sure yet. A likely candidate worth checking in this regard is Gurumin. It’s on GOG, and it’s old, and it was published by someone other than XSEED (specifically, Mastiff); I vaguely remember Gurumin on Steam being unable to start without Steam.