Most of what I have for Linux is purchased from online download only. A few (Doom 3, Quake4 & others) aren't available that way at all. It's mainly the extra cost for shipping, plus, coming across the border, Canada Post will charge me a fee for having to charge me taxes.
I also find it easier when I upgrade the OS, if I need to reinstall my games, I have them all in one location, without having to look for all the CDs.
Of course, I'm sure others would simply say I'm being cheap too.
*edit*
I'm actually one who will back up their system on a regular basis... after going through a hard drive crash once at home, I surely would have been placed in an institution if I hadn't backed up everything I had prior to that.