If your band is consistently scoring Top 40 hits and your video is enjoying heavy rotation on MTV, you might do better selling CDs. If people have had to pay to come see you perform, that's less money that they have in their pockets to spend on your music. For a moment, put yourself in the position of your average kid or working stiff who has come out to attend your performance. Records are larger than CDs, and that means a larger package. Thus, you can do more artwork or fit a larger graphic on your record's jacket.
Records have an aesthetic quality that CDs lack.
A record is something that your customers can look at and hold in their hands and enjoy visually as well as aurally. A track on a record can be queued to any point in the song at the drop of the needle. With CDs, you always have to start at the beginning of the cut and fast forward to a specific point. Because of the differences between vinyl and CD technology, scratching as it is done with records will never be possible with CDs. If you release a CD, someone can put your songs on their computer and have the whole thing shared on Napster in an hour or less.