I think having a physical copy of the game is best, imagine if the site crashed or something and your game was lost... So many things can happen with purchasing online, I only purchase online when I cannot buy the game via retail.
The odd thing to me is that this thread seems to be full of people who think that the retail version and the DD version are somehow different. Its a Steamworks game. What that means is that what you buy in the store is basically just an unlock code and install disc for Steam software.
If the DD version "screws up" or "fails" somehow, the same thing's going to happen to your physical copy. They all go through the same client and same authentication server. This Steam scaremongering is ridiculous, not only because its baseless but because
all versions of Skyrim are Steam versions. >.>In short, if you're worried about the DD version getting "lost" in a "site crash" you should be just as worried about the same thing happening to your physical copy since it will have to register and auth on the exact same server as the DD version.
Furthermore, all versions will have the same online activation and will all require their updates through Steam, there will be no "manual" updates for Skyrim. This is all covered in the sticky at the top of the forum. @_@
I'm not trying to be condescending but there seems to be a lot of misinformation regarding Steam around here >.>