I prefer physical because then I at least own what I've bought. Of course I don't own all the rights to the content etc. but at least I own that copy and can do whatever I want with it. That is, unless there's DRM but that's even a more common problem with digital (online) distribution.
Digital distribution is fine, too, if it's completely DRM-free, like GOG.com for example. Then I can burn the game on a CD/DVD and have almost the same functionality as I would have with a normal physical copy. Well, I can't sell it of course and that's a slight drawback. Personally I'm not very much into that selling stuff used but instead buying used as it's usually a lot cheaper.
Oh, and I hate Steam. It's easy yet very terrible DRM. And they're ripping off us Europeans with their prices (or at least they were last I checked).







