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.
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.