For me, it depends on the book. The genre books that I love I tend to buy in e-books because I can easily take them with me on my Palm.
Books by authors I love, I will buy in paper (or hardcover) just so I don't have to worry about losing the format when I upgrade computers, change software, etc.
Books used for reference I tend to buy in physical form only because it's so difficult to annotate, make notes about, flag in electronic form. I have made some ebooks (sections) into PDFs, using Acrobat, but on the whole, it's still easier for me to use the trad form.
Since I do read many of my books more than once, I don't like having to worry about whether they will be there in the future. I used to buy e-books in Mobipocket format, but have since taken to buying all my e-books in html to make them as versatile as possible. I stopped buying .lit formatted books a long time ago because of the DRM. I haven't even looked at it in so long that I don't know if they've eased up or not.
If I have to make a choice between a heavily-DRM'd e-book or an audio book, I'll go with the audio book. Sometimes - if the audio isn't an option - I'll go with the e-book, but frankly, I've started checking books out of our public library again just because I'm not so willing as before to support closed formats that are essentially penalizing me for choosing the same-priced ebook over a printed book since the costs of production are so much higher with the printed book. I think if heavily-DRM'd e-books were priced considerably less to reflect their lesser production costs, then I *might* start considering them.
Whew. In other words, it depends on the book.
