I prefer physical retail, because it's nice to own things, and re-installation if I reformat is less of a pain
Also, after spending 20 hours downloading the game, I don't want to spend another 6 updating the game.
And I've had a few instances where the game doesn't install properly, which doesn't happen as much with physical media. And if the Steam servers are down it always seems to be when I want to play. If I want to wait for a server to be up so that I can play a game, I'll play a MMO.