The last game I got that was on a disk was Neverwinter Nights 2. Personally I rather have physical disks of my games but steam makes it too easy to just get them digitally.
starcraft 2 heart of the swarm
Command & Conquer: The First Decade
Borderlands 2, but that's because I bought the collector's edition
Fable: The Lost Chapters.
Rise of Nations
Fallout 1. About two weeks ago..
I bought Watch Dogs (on launch day, which was a big mistake), it was10€ cheaper than a digital copy (El Giganten FTW). I prefer buying physical copies, because when i buy a digital copy i feel like i don't own the game, but 95% of my games are just digital copies.
FFXIV - (jams fingers in ears to block out laughter)
Half Life 2.
World of goo, and not the HD version (its 480p so yeah...)
Borderlands 1.... did not play it much but it was quite after borderlands 2. i got borderlands 1 for 7 bucks...
Far cry 2
ktor or mass effect 3.