Boxed; That way, I can always have an archive that will last me forever, and can be resold, and does not need a constant Internet connection and background app to "authenticate" my copy. Steam is okay, but the constant need for it to run, and the price for retail games the same as the downloadable version annoys me.
Case and point: I still have the original Windows CD of Dark Forces, circa 1995. I bought it right when debuted via preorder, February 15, 1995, at my BestBuy. My CD has never been corrupted, scratched, or suffered any other misfortune, and even if it did get scratched, there's no DRM to restrict me from creating a backup archive. That's the beauty of a physical master copy; I can do whatever I want with it.
On second thought, there are a lot of older games that I want to play, but I'd have to buy a copy from a possibly unreliable secondhand source, which may charge a ridiculous amount for a CD. In that case, I would most certainly enjoy buying a digital version for GOG.com, since it is DRM-free, and runs perfectly on modern systems.