That's a valid question. It's for the same reason I've never bought anything from the iTunes store. I'm not saying there's anything wrong with the stores, or that others shouldn't use them. It's my personal preference based in my fierce independence, as I resist the idea of being restricted, forced or even guided toward a single source for music or apps. I know Apple doesn't restrict the purchase of music or software from other vendors, but it's clear that their intent is to be the only source. Lion only being available from the Mac App Store is a case of Apple trying to force people to use the store, which I resist. That means you can't buy Lion without giving Apple credit card and personal information, as opposed to walking in a store and paying cash for it. Is that inherently a bad thing? For many, obviously not. For me, it is. That's one of the reasons I haven't switched to Lion.
I know the iTunes store and the app stores are presented as being all about convenience, but somewhere there's a point at which people give up too much of their privacy and independence for the sake of convenience. I'm not saying where that point is, but for me, I prefer the independence of being able to walk in a store and buy a CD, pay for it with cash and rip it into my iTunes library, with no one knowing what music I have or what I do with it. I understand the music industry wanting to protect against piracy, but I'm very opposed to DRM or anything restricting what I do with something I've bought. I like being able to get software directly from a developer's site, with no single entity being able to catalog all the software or music I have on my computers.
Maybe I've watched too many movies (to be honest, I HAVE watched too many movies!), but I see so many who give up their privacy to sites like Facebook and Twitter without a second thought, or store their credit card info on aggregate shopping sites, making it easier for someone to access their personal data. Even if those site owners are responsible with the data, there have already been numerous cases of such sites being hacked and personal information of thousands or millions being compromised.
I've loved technology, and especially computer-related technology since I was a kid. But I do have a sense that technology can be used against us. I know we all use technology to varying degrees, but I try to keep a sense of caution and balance, avoiding volunteering my personal information when there are more privacy-friendly alternatives available. I'm not a conspiracy theorist and I'm not paranoid or a nut about this. I do banking and pay bills online. I have bought software and other items online. I don't leave my credit card info on file with any vendor, preferring the inconvenience of entering it each time. Again, it's personal preference and not a judgement against the Apple stores.