I'd go for the CD. Maybe it's just me being materialistic, but I thinks it's nice having a physical copy of something you've bought, not just a series 1's and 0's in a machine. Having a CD collection also makes you look cool an deep.
Also, if you take care of them, CD's will always be there. I was recently deleting loads of obsolete files and folders from my PC. Somehow my iTunes library was in one of these obscure folders. It was all deleted. I wouldn't be that bothered but I did have a few individual songs which I'd bought from iTunes, and now I can never get them back. Wouldn't of happened with albums.
The only time I ever buy songs online is if I want individual songs, not a whole album. And that happened to backfire on me, so I don't think I'll do it again.
In response to your original question, I recommend buying the CD.