CDs are the best bet to achieve the balance of practicality with sound quality. Plus, you can rip CDs into digital files and achieve higher quality than what you can download from iTunes (and have the convenience of listening to it on your computer with having the CD in the drive).
That's pretty much my requirement. It's a balance between convenience, quality, durability and cost, and i think CDs seem to have the appropriate balance for me.
Cheers