A key activates on one platform only. Steam keys redeem in the Steam client and add the game to your Steam library. Epic keys redeem in the Epic Games Store. GOG keys are DRM-free — once downloaded, the installer is yours with no client required.
None of them are interchangeable: a Steam key will not work on Epic. Always match the platform on the listing to where you actually play.
If you care about owning a permanent, offline installer, GOG is the one to look for. For the widest catalogue and community features, Steam is usually the default.