First, I think digital downloads for games is the way to go (and I'm talking the legal download with DRM). A good example of what I'm talking about is http://www.direct2drive.com. The only bad thing is that it'll break my bank account quicker than EBGames or Gamespot is currently doing.
Second, awhile ago I came across a game digital download site. Since most MMORPG's have their own downloading system, you could just opt to purchase a cd-key only. Does anyone in all of geekdom happen to know which site I'm talking about? I can't remember it and no amount of Googling has made it surface.