I'd consider downloads only as the last resort. Otherwise my first choice is buying the 'hard copy' of the movie. Yeah it costs slightly more than a digital download but since you can use that one DVD or blu-ray disc [if you swap with friends] to get lots of different movies to watch, it [buying DVDs] is the better option for me.
I prefer to just download movies nowadays. I don't re-watch a movie that I have already watched after many years, so I don't think it's worth it to pay for a DVD when I will only watch it once. I might buy a DVD again in the spur of the moment if the item is on sale, but generally, I will just download the movie from torrent sites.
