They are convenient and usually a good deal relative to the $60 standard for new console games.
 
I think Steam does downloadable games best.  No silly Points-to-dollar conversion, re-download games as many times as needed, works on multiple machines, pretty unobtrusive DRM (though I'd prefer none, but that won't ever happen), and frequent sales on quality titles.  I generally don't bother with other download services unless there's an exclusive I want (see Shadow Complex).