Taxcut used to be the only thing I had a CD for, but starting this year I opted to download the installer instead. My problem is that I've never had a good CD/DVD filing system, so the prospect of making everything downloaded media means I have better archiving / access options.
Most CDs I just copy onto one of my 1 TB hard disks and run the installer from there. I also put the license key in a License Key.txt file just in case.