I started playing TES games around the time Morrowind came out and then sort of forgot about them till Skyrim came out. So when I bought the "5 Year Anniversary Edition" Oblivion a few days before Skyrim was released, I got all the DLCs with the main game. So with Skyrim I had to download the DLCs (when theycome out) on my XBOX. It takes literally HOURS to download them. I would prefer if they could somehow sell it in game stores. Am I the only one with this problem?

You are not. I have a broadband internet connection, and I still prefer the ease of having my games on a store-bought disc. It makes not only the first install, but any reinstalls, so much quicker. Plus it allows you to install your game even though the distributor's website has been hacked.