Depends on the game. If it's something I think I'll be wanting to play again in the future then I find a hard copy (Example: Dragon Age), if it's something I'll likely only play once or which requires online to function anyway then I might as well purchase through an online service (Example: Left 4 Dead 2).
Then there are the deals I just can't turn down like the King's Bounty deal a few days ago on Steam. That was just too good to pass up.