There is indeed a retail version - two in fact, Japanese and Chinese/Asian. But only the Asian version has english text, so get that version if you're going to. It'll end up costing you a few quid more than the online version, but some stores are giving away a free soundtrack CD with it. I've seen people on various forums asking why you'd actually buy it on disc rather than download it. Apart from the whole broadband speed issue, my main concern is the fact you can't resell the PSN version. Siren may well be completely awesome, but if it's not, you're stuck with it.
In fact, this has been bugging me a lot recently - could downloads lead to the end of the second hand market?
Here are three places to get the disc version.
Play Asia [http://www.play-asia.com/SOap-23-83-3qig-71-bp-49-en-15-siren-84-j-70-2q0u.html]
A good store generally, but thanks to Sony putting pressure on them they don't ship PS3 games to the SODDING UK! This site was great when I had a 360 and wanted the odd region-free game, but now I have a totally region-free PS3, I find Sony have put the smackdown on shipping to the UK. Still good if you're outside Europe though.
Gadget Asia [http://www.gadget-asia.com/index.php?page=shop.product_details&flypage=shop.flypage&product_id=2121&category_id=114&manufacturer_id=0&option=com_virtuemart&Itemid=28]
They ship free to anywhere in the world, but I don't know if their parcels are likely to get picked up on by customs. But they only accept PayPal as payment.
I-Gamer [http://www.i-gamer.com.hk/index.php?op=get_product&id=988]
Again, they charge for shipping, and ship anywhere, but significantly they actually state this comes with a free soundtrack CD. None of the other sites specifically state that.
Or as a final option, there's E-Bay. Both the US and UK version of E-Bay have Siren for sale. They don't seem to go for less than thirty quid or sixty dollars, though.