Digital Distribution for the win. It is not only cheaper, but its cheaper in terms of little things like the gas it takes to get to the store. It's far more convenient, I can buy it with the click of a button and download any time. In addition, its much, much safer. CDs break, are lost, get worn or scratched or a million other things, not to mention new technologies may make a lot of games bought physically be useless: If I found an old game on a floppy disc, I could not play it. With Steam, I know that every single last one of my possessions could be vaporized, and I could be in a coma for years, and when I wake up I could find a computer, type in my name and password, and there is all of my games.
Physical copies might seem more satisfying to own because they are more unwieldy and less convenient. You have to put effort into cataloging and caretakeing it all. There's a lot of old games that I loved, and then lost. That will never happen with Steam.
Also, with both hard copy and digital distribution, all your buying is code. Both put the same code on your hard drive, and give you the same game. The difference is that with a hard copy, you also have to screw around with a fragile plastic disc that takes up space. I would pay good money to turn my old, hard copy games into my Steam account in a heartbeat. The only downside is that EB can't cut developers out of profits through the used game market. But that will make games cheaper for us in the long run.