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I personally don't like how the audio entertainment industry is moving towards downloads. I much prefer the "old fashioned" physical CDs. They turned out to be pretty useful when I lost my laptop (and therefore my iTunes) for a month, but could still listen to music via CD.
And yes, I know that I could just burn my own CDs, but it's just not the same...
As for the last time I went out and bought a physical CD, that would be 3 months ago, when I went to a Borders to buy the soundtrack to Uncharted 2: Among Thieves.