That's why I download stuff first to see if it'll be worth going out and buying it
And of course you can burn a cd/dvd and hold it - but it's not the same. A cheap crappy disk you get 10-50 in a pack or so of with no cool and colourful label on it. Now compare this to your unique "singular" disk you get paying the full 30 bucks for it.
EDIT: And printing a cd cover onto the disk still doesn't count!