Downloading from the software from the Internet is easier as long as you understand what you're doing. Problems can occur when you buy software on-line but the same can be said for going out and buying the CD. As long as you understand what you are doing, you will be fine. Downloading may take a while but you have to remember to take into account not only your Internet connection but that of the server you are downloading from, the distance from said server and how much traffic that server has.
I have not once read of problem with a piece of software that was LEGALLY downloaded nor have I heard of any from within the many on-line communities I have been a part of. The only complaint is the increase in impulse buying, which is easily overcome by a little self control, though I too have been known to partake in some.
The only thing I would be wary of is who you are downloading the software from, do your homework make sure the site is reputable and you should be fine. I cannot stress that enough, buying from a site you are unfamiliar with is no different than going out and shopping at an unfamiliar store. Any bad feelings and you should get yourself out before it's too late.
Most software companies (that sell on-line) worth their salt will have good on-line customer service and on-line customer service is probably at its best when it comes from a software company. If any problems should arise there should be ways to talk to the company to find some sort of solution.
Shopping on-line can help rid some of the hassle of shopping, and hey you save some gas though perhaps not energy. But in the end shopping is shopping and you should always be on the lookout. As long as you are aware of what you're doing you're safe, otherwise just don't do it. If you would prefer to sit in your chair while in the comfort of your home so be it, just remember that all shopping should be done at your own risk.
A few sites I would personally recommend for anyone wary are: software.com for most of your software needs and then there is Direct2drive.com for all your gaming pleasure. Both have been proven to be safe, and software.com even has its own rating system so that you are more aware of the quality of the software you are buying.