I will always choose physical if there's both as im a collector and I'd like to see where my money went. I find it hard for me to accept digital purchase as I don't really see it unless I turn on my system so I rarely believe that I actually own it.
The worst thing about digital is that if it's gone, its gone for good. I'm sadden by the fact that I missed out on getting TMNT Turtles in Time re-shell due to the change of licences. This goes the same for those that wanted EA's Tetris on PSN.