Especially with Steam games, I think it's a much better option to buy full price games in physical form. Why? Well, for starters, if your internet connection decides to fail, isn't that fast, or the Steam servers mess up (which happens pretty frequently), you're out of luck when it comes to downloading/updating the game.
With a boxed version, you get the benefit of a faster install off of the disc right from the get go, AND with Steam titles you get all of the same benefits people who buy it digitally get (auto updates, complete Steam support, etc).
My opinion has always been that if I'm paying full price for a game, I definitely want the disc, box, manual (in printed form), etc so I get the most for my dollar. Digital Steam games that are asking for a full price (like $49.99 or whatever) are delivering the same game, with the same Steam benefits as their boxed counterparts -- so if there's no box, printing, disc, or physical distribution costs for the digital game, why are they asking full price? You're paying more when you should be paying less, and that doesn't make alot of sense to me.
I've bought many games digitally over Steam but only ones that were heavily discounted as a part of Steam sales where it was too good of a value to pass up.