For PC games I like Steam. It's convenient, it's cheap, and I honestly prefer never having to use a disc. The last part is what does it for me. None of my games on Steam need a bloody disc in the drive to play, which saves me the trouble of rooting around shady places looking for No-CD cracks, or making backup copies of my games because I'm afraid the disc will scratch. I mean hell, I've gone through about four copies of Morrowind this decade from sheer overuse of the discs.
When it comes to handhelds though I like physical games. I know the PSPGo tried to do the digital distribution thing, but I can't see it ever working. I like the tactile feel and robust nature of the plastic cartridges, and having a little case filled with them is almost like having a bookshelf filled with books. It appeals to something.
Now if PC games started coming on solid state media like flash drives or cartridges I'd be all over it. Come on, imagine a sweet Skyrim USB stick that looks like a daedric dagger or has the dragon language runes all over it.
Maybe I just don't like CDs and DVDs anymore. They're too shiny and impersonal.