Books--I love the convenience of an e-reader, but nothing beats a physical book in your hands

Music--Downloads all the way--I've found that buying the whole album for one song is silly when you can just download the one song you want

Games--Physical copies if possible, but I do like being able to download off of Steam and similar services

Movies--Physical copy if it is a movie I really liked/wanted to see, download if I'm not sure I'll like the movie