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Freedom and better control method. For that reason, I'd much rather use Linux and GOG instead of Windows and Steam, but unfortunately that's not fully realistic. Linux gaming is still far from Windows gaming, and most bigger titles don't have GOG releases until years later if ever. That said, generally I'm not very interested in AAA titles anymore, and GOG is excellent for most other games. In the end, I play games on Windows, buy them from GOG if possible, and from Steam if not possible.

I'd also prefer physical copies but it's not worth it on PC anymore. Even physical copies usually have Steam keys or something like that, and they cost a lot compared to digital copies (on sale, of course). By the way, it's ridiculous how physical is still the most appealing option on consoles, considering the prices.