Yeah, until your computer crashes and you lose the game along with the money you've paid for the download. So I'm with Rosas on this (boter bij de vis. Don't you agree, Rosas?). You guys must think of us as primitive barbarians with a strange desire to remain in the Stone Age, but with a physical copy of the game you actually buy something with your money. That doesn't mean nothing can happen with it. You can drop the disc or damage it in other ways, but at least it will be your own awkwardness that does it. On the other hand, your computer may experience problems that may render you unable to save or salvage the precious files. A somewhat convincing counter-argument may be that you can still store the files on USB or burn it onto a CD, but that would fall under the 'effort' Rosas described. You might as well go to a store and buy a prepared disc.
Mind you, I do understand why digital distribution has emerged. Gaming companies want to cut out the middlemen and cut the costs/increase profit margins. But that doesn't mean it necessarily serves the customers best. It's not that I don't trust Paradox or Gamersgate, but I still like to know that I haven't been forced into buying something that doesn't exist or is malfunctioning (is there a return policy, for corrupted files, with digital distribution?). Paradox may be trustworthy, but not everbody is. Look at Steam. On the surface there is nothing wrong with it, but if one looks at Steam's tactics one can easily see that they are positioning themselves to be the new middlemen in the gaming industry (i.e. you can't play their games without their software, we Dutch speakers would call that gedwongen winkelnering). In short, to me digital distribution is just another sign of the downside of globalisation in which a few dominant players (i.e. Steam) try to knock out the 'laggard' competition who have to 'go with the flow' or die in 'backwardness'. I hope I don't indicate any distrust in Paradox here, because I consider them to be people that will have to adapt or perish at their own risk.
I (and Rosas too, I think) resist this trend and even though I will probably be forced to go along as well, I still think the old-fashioned what you see is what you get way of doing business is still the most rewarding for anyone involved. You are of course free to disagree, de gustibus non est disputandum.