I usually buy PI games for download. It is much easier for me (having a good broadband connection) and I never have to worry about the dog eating the CD or my "manual" going missing when I just need something. The box is always hidden away in storage.
And if me downloading can help make more money for PI, then so much the better. They are by far my favorite developer, as I pretty much like all the games they make.
But I guess everybody is different. Some like downloads, some like CDs. Any which way you buy it, you will be helping out PI, which is a good thing.