I prefer to have a CD rather than a download, I'm a big fan of having physical copies of things. I really don't like paying for digital downloads because it's just a file, if you delete it or something it's gone, whereas with a CD, if I make a digital copy, and then delete it, I can easily get it again. I suppose stuff like iTunes allows you to re-download stuff (I think) so that kinda makes that point null and void. I like CDs because they are higher quality than a lot of downloaded tracks, iirc tracks on iTunes are less than 320kbps, and as someone who likes their music to sound nice, it's pretty important for me to get high quality music. Also CDs just look nice. There are some things that I know I can't always get on CD, stuff like music from soundcloud/bandcamp and foreign music (shit's expensive) but I always try to get physical rather than digital copies of music.
I can't confirm the iTunes stuff I've said because I only used to to rip CDs and put the tracks on my iphone.