Steam and Direct2Drive are huge, and pretty much every company out there has the option to purchase and download their latest game or expansion directly from their site. The rapid increase in free trials and limited free-to-play options make it an even more attractive option.
But on the other hand, there's something very enticing about having that box in your hands, and most game companies will make it worth your while to purchase the box by adding extra goodies, particularly if you pre-order or purchase a collector's edition.
So where do you fall? Do you like that box, those discs, and all the other goodies, or do you prefer just to download it so you can get to patching that much faster?