It depends. For portable systems I go with Digital usually, getting physical if there are pre-order deals, Limited/Collectors Edition Extras, or peripherals. I'm fine with physical, though, and if it turns out to be the more convenient copy to get at that point in time, I'll get it. Generally, though, I like to have my games on my system because it means I don't have to lug games around to wherever I am with me (and, on the other hand, it just looks nice to have a collection on your system).
As for consoles...it depends on how much space I have on my console, but I usually go physical, if only because there are more physical deals for console games than there are for any other platform, not too mention that their used games are usually cheaper, so I generally go physical. PC is almost exclusively digital. Save for older games, PC has deals and its just far more convenient, saves a lot of space (physically and digitally)
In some cases, though, I get physical copies just because I want physical copies. Like my Phoenix Wright: Trials and Tribulations and Virtue's Last Reward, which I could easily just opt for digitally, but I like having physicals for the novelty of having them.