I only buy CDs. I'm too paranoid about downloading because I think I'll get a virus and my whole system will crash. But I'm also not that technologically literate.
I listen to CDs in the car, primarily when I'm driving locally. Then I load them onto ITunes and then onto my IPod Classic. It's such a convenient invention because if I go on a long road trip, I don't have to dig for 50 or so CDs, or if I go running, I don't have to carry around a CD walkman. I probably have over 2,000 CDs, too many to count.