Everything goes on to my iPod for the commute, so I tend to download, though I have purchased CDs (a little more complicated to keep the inherent bookmarks but possible) and, tonight, thanks to this group, I learned my library uses Overdrive, which means more downloads.
Buy them from a store
Download them from online (audible,simplyaudiobooks)
Rent them from the Library
I do all three but mainly rent and download. I have a membership to Audible and Simplyaudiobooks right now.