Although I've only bought 1 game this way, and that was TF2 (they had a pretty good price
), I think it's a pretty good system. It's easy, cheap and like you pointed out, it's always there for you. But I also think that the absence of a manual, box, and the overall collectible value is a big loss.
The worst part about this, imo, are the huge download sizes and loooooong downloads. I hate leaving my computer on for very long periods. If only internet speeds were a bit higher..