I have been collecting CDs by certain Metal artists over the years as far as buying the new releases which came out after I "discovered" them. But lately since I have been trying to go digital on everything I can I have been buying new releases in digital lossless format and skipping the CDs. I think the real test will be when the new Firewind album comes out in a few months if I am able to make due with the digital version. I was able to skip the CD and simply buy the new Sonata Arctica album recently so that is a plus, but I had skipped their last two CDs as well.
Film music wise, the only reason I still buy CDs is that I want to support the small labels that are only putting out new releases on CDs. I bought Thief of Bagdad for example because the CD is the way to buy it and I want to support Tadlow. So my answer would be stick with the digital files if you can purchase them that format.