I'm still buying the majority of my games in retail boxes. I like having the CD or DVD available when the download part goes awry. A good example would be the problems with SDC and installing Galciv2. I and many others like me have to install the game from the CDs and only then will SDC work to update them. I don't know why that is. I've tried it on 3 different computers (One with W2K and two with XP Pro). Luckily, the CDs work to start things off. I own 5 original copies of GalCiv2 in the box, 3 of which are installed.
I'm also the primary computer/software specifier for the company I work for and our software is almost exclusively boxed. Even our computers (all Dells unless I build them myself) come with CD copies of the installed software. I must admit that a lot of those CDs wind up in the trash and I do a lot of initial uninstalling when I get the computers in.
That being said, I've also bought online and downloaded recent software such as the GalCiv2 expansions and non-game software like anti-virus.
I particularly like the try before you buy option with most packages. I've chosen my multimedia packages that way.
One pretty much needs to download to have modern software and updates. Still, having that physical copy is reassuring.