I usually go digital if the system in place is good and there is a discount involved.
Steam -> Buy over steam, love it, never had any issues, ever! Love buying slightly older games I missed for sub $10 (they could probably be found cheaper locally but this makes me feel like I'm getting an awesome deal. (Aside from windows live games which should burn a slow painful death)
Blizzard -> I alwasy buy the game in store and link to account (personally my favorite method). I would have bought D3 as a digital copy, but I got 10$ and a steelbook case for buying the physical copy. The one online had no discount...
Sony -> Bought tons of stuff over PSN and love it, unregistering 1 of 5 devices after it breaks is a pain though. (RIP launch PS3 :'( )
Microsoft -> Bought a few XBL arcade titles but nothing beyond that. At the time I couldn't justify buying a full game with limited HDD space. I had the 250gb xbox but still only bought the odd game physically. The autorenewal of XBL had screwed me over and pissed me off so I sold my xbox off.
Nintendo -> Like others stated, I kinda don't trust Nintendo. I haven't bought a single digital thing from them and I don't think I'll start on the 3DS. But I don't know why...