Games - when I can. I think all my PS4 games are physical copies. PC games mainly Steam unless it's something I particularly want to own.
Films/series - If I want to rewatch and own i'll by the blurays. Things like BSG and the Marvel movies I bought. Other films/series that i'll not want to rewatch i'll just stream.
Books - buy. Never download them, I just don't enjoy them as much and I like time to actively not be looking at a screen of any sort whatsoever.
Music - a mixture
Software - online but then I usually use free versions of software such as libre office and so on