Is it legal to buy (for example) Half-Life 2 via direct download, play it until you are done with it, uninstall it from your own computer, burn it to a CD and then re-sell it on Ebay?
I, too, feel that some small reduction in price is warranted if developers switch from retail to direct download. Otherwise, as a consumer, I am getting less for the same amount of money when I am direct downloading since I won't get a shiny box, a pretty set of discs or any cloth maps. That makes me feel cheated somehow.
When the company that supplied you with your direct download goes down, you'll lose your investment (unless you've burned it somehow), and the product becomes difficult to acquire. If your CD breaks for a game that's from a company that's gone under, you might still be able to find someone else's copies off of Ebay.
I think direct download is great for the development of games because of the lessened pressure from distributors and such, but the coin has a dark backside for the consumer. Of course, technology is always moving, and there are already (super expensive) flash harddrives (and other clever techniques), that basically means storage capacity with ultra-long life expectancy, something which might make direct downloading much more attractive.