I stuck with CDs
CDs give me lossless audio, no DRM, persistence (don't have to worry about losing it all my music due to some software/hardware issue, or because the original company went bust and the licensing servers are down, etc...), and ability to format shift.
Also, CDs are cheap, I guess because a lot of people have bought into the "online music" thing, they are getting rid of CDs. I go to market/charity/car boot sales, with a £20 note, and can usually walk away with 30 odd CDs. My last binge on CDs averaged around 39p per song. At that price I can afford to try bands I never heard of, or genres I don't usually go for, or just buy a CD because the cover looked interesting. Sometimes half the fun is finding out about a really good artist just that way.
Also, the older 90s and 80s CDs were not compressed to hell (excluding pop music), they actually made use of the entire dynamic range of the CD. So getting an earlier version of an album is better than a later "digitally remastered" album, where they usually turn up the loudness, compress the hell out of it, and generally ruin the recording.
The format shifting is also important. Once purchased the CDs get ripped to FLAC, and stored on my server. I use a nice little open source program called flac2all which will encode and tag my flacs to MP3 (for the car mp3 player) and vorbis (for my rockbox powered ipod, although looking more and more at opus now that flac2all seems to support it).
After that, the CDs spend their life either on the shelf, or in my HiFi CD player. Not only that, one day I can sell those CDs on if I want, or I can lend them out, swap them for something else, or leave them to my descendants. I can't do any of that with online music.
Also, mp3 only really took off because of the crap internet speeds and low storage of the day. I (and people I knew ) listened to mp3 not because it was better then a CD, but because the CDs would be £20 a pop in the 90s, while the mp3 was free and you could squeeze one out down your modem or ISDN line in an hour or so. Not to mention Uni's and their massive networks, with napster and DC++ programs allowing mass sharing between students.
Plus when CD recorders came out, you could swap mp3 CDs with hundreds of songs with your mates and build your collection out. a 40GB disk could store thousands of songs. It was the convenience and flexibility that mp3 provided, not anything about the quality, that made it popular.
If it wasn't mp3, some other format would have taken its place. It could have been ATRAC (used by minidiscs) had Sony not been a massive turd and refused to licence the codec out for computers until it was too late and mp3 ate their lunch.
Now, we no longer have the bandwidth and storage constraints we had back then. We also have better codecs if you want lossy compression, so mp3 is pretty much done in my book.
What it has, is inertia. So much legacy out there, it is the lowest common denominator. You are pretty much guaranteed that a music player will be able to play a MP3, especially if there is no licencing involved anymore. It will be the BMP format of music.
Only pains for me is re-ripping the entire collection, if push comes to shove. I am thinking that my next home project shall be an attempt at a robotic CD ripper. The storage issues I don't mind too much.