For games I don't really care. I am getting into Steam now that it is more solid and my ISP has unmetered downloads from a local Steam server. It is cheaper and more convenient for me to buy it, set it to download for an hour or so, then come back to a game that is pretty much ready to play than it is for me to drive/train into the city, buy a game and come back. Store prices here are pretty expensive, and on Steam I am trying to go by a rule that I never buy anything for over $40 USD unless it is a compilation, so it's been a pretty positive experience so far.
For music it is more complicated. I download a lot of music, but when there is an album I like I will usually buy it in a store as well. I should probably get into an online music store to save myself some money, but sometimes there is something about a physical cd that I like.
For books and movies I always buy the physical item. I dislike reading books on a screen. I an read forums and websites and articles and such just fine on the screen, but I guess I am conditioned to expect serious novel-like books to be physical. If the Kindle 2 was out here I would like to pick one up, but not at the price they are asking. In the future I will probably like some kind of reader device perhaps, but for now books are good.
With movies I never seriously watch them on my pc or laptop anyway so even though I have a fair few rips stored away I far prefer to have the dvd at the moment. I'll see how I go once I get a decent media player like the WDTV HD or the new Ion-based Acer AspireRevo pc.