I buy physical CDs every once in a while, but I will never, ever, ever, ever, ever, ever buy any music off iTunes. Zune Pass seems like it's ok. There isn't a legal way to download music that I'm comfortable with. But CDs and are cool because I have a billion things that can play them, except for, like, Nintendo consoles.
The most recent CD I'll probably get, depending on the price, is the Gundam Rock CD by Andrew WK. Haven't heard the music yet, but the novelty of it is gold.
To clarify, I don't have a problem with digital downloading. I use Steam, XBLA, PSN, Wiiware, iPhone/Touch apps, etc. Digital downloads for music is still terrible. You get a lot more flexibility, quality and, uh, "value" if you download it via torrent or ddl site. Zune Pass seems alright because it's basically renting any song you want, like a giant radio station.