Really depends on the type of game for me. Single player/RPG/Shooter etc I'd prefer a boxed copy.. just for ease of installations, backups and whatnot..
For MMO's I actually prefer Direct Downloads (DDO does this) since they constantly update, It's usually
easier to download the entire thing, updates and all with one fell sweep should you uninstall it (by choice or forced by crash). Plus, if an MMO tanks.. I don't have useless disks lying around cluttering up my already cluttered computer room.. hehehe
Since I backup everything anyways.. direct downloads have an equal opportunity to get mucked up just as much as me scratching a disk