timppu: Good point, I have certainly used that too. Do you mean they get corrupted because you are telling the GOG downloader to download them directly to the external USB device, or they get corrupted also when you manually copy or move files to/from the USB device? If the latter, that sounds pretty bad, considering many (me included) are relying on external USB HDDs as backup devices. Then again, I have copied around those non-GOG game installers as well, without similar problems.
Manual copying. I haven't tried downloading directly to the device, so I can't comment on its reliability. That's why I always run an integrity check on the files after I've copied them.
I have sometimes wondered about that, and that is why sometime in the past I asked here also, do the file copying and move operations in e.g. Windows have any integrity checking (ie. it notices if the copied file is not identical to the original one)? Can you always trust if a file copy or move operation was completed without errors, there is no corruption?
I haven't noticed any problems when copying a file from one place to another on the same drive. However, whenever you're copying to another device, there's always a risk of copying errors. Long story short, always integrity-check your backup files. When I first started following this policy, I found that maybe 10-20% of the files I'd stored for backup were corrupted. Fortunately they were all files I could replace.