The association between spending money on music and having a physical product to show for it has been hard to shake for practical and idiosyncratic reasons. I still buy everything on CD, preferring to have a professionally manufactured hardcopy of the uncompressed music. Away from the PC, I still listen to CDs at home. IMHO, digital downloads are best positioned for sales of popular (read "everything other than classical and jazz") music singles, where having a raw file is less important and you're able to get what you want off an album for $5 or less. I've primarily been buying classical for the past couple of years, and buying a single track or a scattering thereof from a classical album has no appeal. There often isn't a significant cost difference between whole album downloads and the CD with free shipping.
With the decline of DRM, I'm open to spending $1 on the occasional current hit if I don't have any interest in the artist/album beyond a song or two, but I haven't done so yet. I'd be much more inclined to make such purchases through the Zune Marketplace if I didn't have to play the Microsoft Points metagame.