This makes for an interesting question. Overall, there are various different types of download available, which can vary in quality. So, there are some points to consider.
To begin, let us say that downloads can be either free or commercial. Commercial downloads, might require you to submit a fee before you download the software. Ultimately, it might just be the same as the CD alternative, but equally, it is more convenient to download unless you have problems with connection.
The CD version will rely on the CD for installation and running. The CD can get damaged, and likewise you will have to find a software vendor that has what you are looking for. So again, those are some drawbacks.
Another aspects of software downloads are freeware. Freeware are, as the name suggests, full free software downloads of various types. They can be office applications similar to Word or Excel. Free office suites are available to download, which are not bad, quality wise. Other Freeware, like games, it must be said, are not as good as the latest and best commercial titles available.
Freeware is free, and that is the big advantage of those downloads. The best free downloads are of good quality, and comparable with commercial titles. Image editing software, like Picasa for example, might have slightly fewer options but still provide a decent enough package. Overall, the value provided can be better with Freeware.
Ultimately however, for the fact that they are commercial, CD software will usually provide a little more depth, in terms of options at least. If that is what you want, and regardless of actual value, then the CD will be the best to acquire.
It is sometimes the case, that trial downloads will be made available alongside the commercial CD. The trial versions will be free, but either will have more limited options or be restricted to limited usage with full version. If it is the first, then that is not such a bad thing for unlimited use. The latter however, will not be so good, as you will only be able to use the full package for a very limited period usually of just a couple of weeks or even days. Of course, it's fine just to taste the full product first, but you will need to acquire the CD.
At the end of the day, it is more a matter of personal preference. If you want, or need to have the most extensive range of options from a particular software package, then the best thing is a good CD package. If however, you do not require an entirely full range of options then free downloads can give you far better value. Generally, downloads suit me better.