Books - Physical - E-readers are nice but since they are fairly new I don't want to buy the books I own again on them.
Music - Physical - You can easily rip CDs into digital, so it's really a question of if you want a digital copy or a digital AND physical copy.
Games - Digital - It's easier, and you don't have to worry about something happening to the game CD.
Movies - Probably physical. It's a tough choice for me, though.