I will always prefer a factory pressed CD (or LP, for that matter), over a CDR or digital release. I hardly buy CDR releases (and don't feel as though I'm really missing all that much, since there's still an unbelievable amount of music to purchase in any given year), and I'm just not interested in paying for downloadable files.
My issues with both formats stem from archival concerns. I had quite a few problems with CDRs in the early days JKN mentions, which put me off of buying on the format for several years. I've since gone back to buying CDRs on occasion, though I don't particularly care for the format. I still often decide not to get releases, even by artists I enjoy, if they are on CDR. I would say the quality of the CDR release has improved in the last four or so years, but I'm still not hot on the format. I've had just too many of them "go bad" on me, and, as a consumer, I'd rather the artist understood that I might want a relatively stable and permanent format if I'm going to plunk down $14 plus shipping for their record. If it means fewer discs for me to buy, so be it.
For digital releases, I'll certainly download them when they're free, but I don't care for the idea of paying for MP3-only releases, even if artwork, etc., can be printed. I've had too many hard drive failures (not to mention iPod destructions!), to rely on electronic files for long periods of time. I've had CDs and LPs for decades and they play fine; not once have I ever had an issue with any of these objects. Yet look at a recent experience (as mentioned on the Now Playing topic) with my Keith Berry disc. Lots of effort to deal with that one, even if the end result was positive.
I think it's fine if labels want to release their stuff in these ways. I don't "hate" CDR or MP3, etc. I just choose not to patronize those formats if I don't have to. There's a scary amount of "product" out there, and certainly far too much music, ambient or otherwise, made every year to enjoy in a reasonable lifetime—I can't say, in several years of avoiding these formats, that I've had any regrets.