I buy whichever's cheaper. Never could figure out why an album on CD would be cheaper than the same album as an MP3 download. What really cracks me up, though, is when you find things like this. You can download the MP3 album for $11.49. Or you can buy the CD for $6.98, and download the MP3 album for free.
Most people still buy movies on disc, right? I would never think about buying a digital movie from iTunes or something similar.
It's also increasingly hard to find a lot of CDs now, many artists are releasing digital only.
Not to mention many new cars aren't offering CD players anymore.
Thankfully I haven't really ran into that problem with the artists I listen too(it usually only happens for singles and EP's, plus artists on Bandcamp, but that's different). However gone are the days of just going to the store and seeing if anything piques your interest, which is something I sorely miss.
This doesn't really bother me as I can fit more songs on my mp3 player than I can CD's in my car within reaching distance.
The annoying part of digital downloads is they only work on the device you buy them for. For example, if you buy a movie from iTunes it will only work on Apple devices. With a DVD or a Blu Ray disc they'll work on anything that can play those formats.