I like physical copies, since I take good care of them and I love manuals, especially the Freelancer manual, but also any manual with unit stats in them (Command and Conquer etc). But right now, it's just easier to purchase a game on steam, since it stays with you wherever you go. You don't have to lug around masses of games (and I do have masses of games). All in all, I have to say that I prefer digital media, though I'll never forget the massive package that X-Wing vs TIE-Fighter came in.
Speaking of which, anyone have a copy of Slipstream 5000 handy, one that runs on something more modern than Windows 95?