Well, you'll be fucked up the ass when you eventually have to format your computer or transfer the music to a new computer, if you don't remember to manually backup and transfer the licenses. And whatever media you burn/transfer the songs to will eventually deteriorate or become completely unreadable (usually within five years). A factory-pressed audio-CD, on the other hand, will last the rest of your life.

Not only that, but you can phase an audio-CD however you want, be it to PC in MP3 format, to audio-cassette, to MiniDisc — and you're always getting high quality because your source is the best digital version of the music you can get aside from the studio masters. With WMA you already have a lossy copy, so when you transcode it to MP3 or MD for example, you lose even more quality. Or worse yet, you may not be able to transcode at all, since most sites that offer downloads in WMA format use "Digital Rights Management."