As I needed two copies of Cataclysm, one for me and one for my wife, I had the opportunity to buy them in different formats, one in a box, the other as digital download. This is a short comparison of the two formats:
Price: I paid €34.99 for the digital copy of Cataclysm, but only €25.90 for the box from the shop. Considering that making the box with the DVD costs more money, and that the shop gets a part of what I paid, the digital download price is too expensive. Depending on your interpretation this is price gouging, or Blizzard trying to keep retail shops in business. Box wins on price.
Installation: The boxed copy of Cataclysm installed quickly enough, but as the digital copy had already downloaded invisibly in the background for a while, the digital version was still a lot faster. The digital version also didn't require me to enter a complicated key. Digital wins on installation.
Timing: Theoretically the digital version was playable from midnight, while the boxed version could be bought midnight, brought home, installed, and then played. Practically the login servers were overloaded at midnight, so this didn't matter. I played the digital copy early in the morning for 10 minutes, but had to go to work. The boxed copy I bought on my way back home after work. Digital wins on timing, but only barely.
Backup: One reason I wanted at least one box for was to have a backup on DVD. But that is probably old school thinking, as the DVD will not have the latest patch version anyway. I'm not sure how much faster or slower installing the game and all three expansions would be from DVD compared with having to download all again. And I don't really want to have to try it. So no winner in this category.
Overall the two ways have different advantages and disadvantages, and it is up to you how important these are to you. For price sensitive people wanting the joy of holding a physical copy in hand, the box is better. But for getting into the game quick and hassle-free the digital version is great.