Several people have mentioned the importance of CD booklets to help them understand the music or performance. Perhaps the preference for CD or download is affected by the type of music that is favoured. I assume that the provision of booklets, which with opera should include the libretto, may be most significant for those who listen to "classical".
The kind of random play, or selection of tracks by genre or even tempo, that iPod provides is not really viable with classical. I usually want to hear the whole madrigal, mass, cantata, opera, symphony, concerto, quartet etc.
Tesco has opened a new online download music store. They kindly gave me �1 to spend. A superficial visit suggested that they only have chart fodder and very little back catalogue (no AC / DC!). Everything is MP3. [I know there are better sites elsewhere, including getting hires direct from the music companies]