If you're in a hurry to get your hands on a new program, downloading it will certainly be faster, but that convenience could carry a premium price. If you are looking specifically for the downloadable version of a commercial package, make sure you have actually clicked on the downloadable version at the vendor site before you buy.
Some sites offer both boxed and downloadable versions from a single location.
Others require customers to click into a special download-only area. Make sure you get any you are entitled to. Make a backup of the software. Don't lose your serial number. You might need it later if you need to reinstall or call for technical support.