Downloads are good where the shops and post aren't
I've generally resisted downloads for many of the reasons mentioned here -- principally that it seems stupid to spend as much as a CD on a lossy copy I have to back-up myself. Admittedly, in the last year, I've copied all my CDs losslessly onto a whacking great hard disc (backed up to another whacking great hard disc), which has made my music much more conveniently accessible to me; with storage becoming cheaper, the use of the CD itself as a final backup medium is becoming less important to me.
What IS important to me is that I no longer live in the US or UK but in South America, where even the biggest shops in the capital city have a very limited selection and though it's theoretically possible to order CDs from outside, the postal system is very unreliable (especially when it comes to, ah, "desirable" items like CDs!) and the chances of your order arriving are dodgy at best -- and the package would be long in a-coming, if it did arrive. In contrast, there nothing wrong with my internet access or speed down here, and so I find myself in the bizarre position of being effectively cut off from legally purchasing many physical CDs that I could very easily get lossless digital copies of via file trading. This is surely not the situation in which music vendors want to see potential customers! Nor is it really a good situation for this potential customer, either.
So I find myself looking forward to the death of the CD and some system in place (more user-friendly than iTunes, which rigidly locks music to national borders) that allows me to buy whatever music is available as a full CD-quality (at least), DRM-less digital download -- exactly what I can commonly get right now from or as a pirate, but legit. This seems like such a blindingly obvious thing to offer the consumer that the fact that it doesn't exist right now is surely further proof (if any were needed) that the music industry is run by a bunch of hopeless idiots.