I will almost always prefer physical.
Games: I might get a digital version of a game occasionally if it is dirt cheap (like $3 or less). Otherwise, the only time I'd buy digital is if the game didn't have a physical version, and even that is something that I do sparingly. Of course there have been a few games that I simply couldn't pass up, like Mega Man 9 & 10. It still kind of bothers me that I don't have a physical copy though. The convenience aspect of digital is practically worthless to me. When I'm playing games, I don't change games every 3 minutes. I'll get up to stretch my legs from time to time anyway, so I see nothing wrong with getting up to change a disc or cartridge. I don't care about playing new releases the minute they are first released. I have such a ridiculous backlog that I don't get worked up about release dates anyway. I usually just wait a year or more to get a cheaper price since the game would just collect dust anyway if I bought it at launch. I like to have complete ownership and control over things that I've bought and digital just doesn't do it for me. It annoys me when games don't get a physical version. The publisher can take them down at any time which means that anyone that hasn't already bought the game is out of luck. If there were a physical version, secondhand copies can almost always be found even if they end up being rather expensive.
Music: I almost always prefer physical. My format of choice is DVD-Audio, which unfortunately hasn't been utilitzed very much. If there isn't a DVD-Audio version, I will almost always go for the CD version. The only reason I would normally consider digital over physical is if the digital version were of higher quality. It is rare, but does happen occasionally. DVD-Audio eliminates that scenario, but of course DVD-Audio is hardly used. I have no desire to spend money on mp3 or AAC encoded music files. So for me, if I'm buying music, it's lossless or nothing. The convenience of buying digital music, as with digital games, is almost worthless to me. The only thing it saves me is the time it takes to rip my physical media (I rarely listen from the physical media directly). It wouldn't even necessarily eliminate the need to convert formats. Considering that digital music is usually lossy, there is no reason to go digital in most cases. I can make my own rips and encode with a codec and bitrate appropriate for the use case. Sometimes I want lossless, sometimes lossy. I don't want to limit every situation to having lossy quality when it isn't necessary.
Movies: I don't normally buy movies for myself. If I were to buy a movie, I would certainly go physical. Streaming works fine as a substitute for rentals, although I can't help but wonder if the digital stream is more compressed than the original media. I can use my parents' Netflix account for free, but I don't know if I'd actually pay for a subscription of my own. There is a Family Video less than a mile from my house with dirt cheap blu-ray rentals. Currently, I mostly buy movies for gifts. You can't wrap a digital movie for someone.