Things become greyer when I think of CDs that lie in a house overseas. Not only my old collection that lies undisturbed, but the new CDs that family have added. It might be years before I see them, and so effectively the digital form is the only proof I have of their existence. Is this dramatically different to simply having the music in a digital form? Much as I'd like to argue that the knowledge of their physical presence counts for something, even I see that that's somewhat weak (even if not completely indefensible).
As for the "try before you buy" school of thought, I can't argue with it, really. What offsets this for me is that I really like hearing an album fresh; especially so, as you might expect, if the album turns out to be really good. This lies outside the music itself, sure. But when I say I like music, I think what I mean is not just the sounds themselves, but these "meta" pleasures as well; I don't think I can claim that my love of the sounds is greater than many people, but the meta pleasures, maybe. (The same, of course, applies to a stroll around a good record store.) There's nothing preventing me from downloading the entire album and listening to it in entirety, but there seems to be an implicit sense of it not demanding serious attention. I haven't parted with money, so there's no emotional reason to persist with something that seems initially puzzling.
What CD purchasing also prevents is overconsumption. Part of the allure of downloading is that it makes so much available instantly. I can imagine that once you get into the habit, quitting is close to impossible. When everything is available with no effort, it's pretty tempting to try and listen to everything in one go. In other words, persisting with a single album and letting it define one's world for weeks/months on end requires conscious effort. (It's possible, sure, but difficult.) I don't know if we can say that this is an objectively better mode of listening - probably not - but it's what makes me quite uneasy about downloading culture. I fear that our nature makes overconsumption natural (whether we realize it or not), and that means a devalued musical culture.
It goes without saying that I could be wrong about everything. The positive of this possibility is that it means I can listen to Bon Iver within a decade.