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.
SimCity Societies.
Fallout 3
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.
diablo 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...
Rocksmith 2014.
Battlefield 3
Far cry 2
ktor or mass effect 3.
Simcity 2013