I'm rather adamant about owning a physical copy of any game I purchase. I like to go back and play games several times over, like recently I've been hitting up the Golden Sun franchise again. I'd rather not see video games transition from something akin to buying 'artwork' to being a service that can be removed or disappear as companies go under and pop up. Dramatic, but I think it's a relevant concern.
Now obviously, a lot of digital games are downloadable, but there's a finite amount of space on a hard drive as games are getting larger in size. I'd never have enough room on a non-$300 plus HDD to store digital copies of all the physical copies of games I currently own. That seems like a fairly small price to pay, but I don't trust future OS to be compatible with all the games I enjoy forever. I've worked with computers enough to know that in general data is stable, but more often then you'd think things can get corrupted. Plus, what happens if the download server is taken down, and I've switched OS or some other such thing, and I want to go back and play it? Can I go to my shelf and pull it out, nostalgia-ing the whole way? No, I'm SOL.
Now, obviously others have different perspectives, and some people aren't as inclined to replay a game once they've gone through it a few times. To sum up, I like to have a physical copy of any game I buy, because I am then responsible for it, and in charge of it, not some service or company.