It requires another player. (In case of BluRay)
It's harder to stream through the internet. (In case of digital formats)
For those people, like me, who in 95% of practical uses do not see the difference, the above disadvantages make it a no brainer.
I guess I am asking, is it really worth it all the trouble?
If you front-load the inconvenience by buying the discs, ripping them all to a hard drive, and using something like XBMC or Plex on an HTPC, then for any serious watching where you sit down for the whole show, yes, it absolutely is worth it. I wish more people had access to the convenience a media server gives; it's what content should be like in the digital age.
Edit: I'm usually about 1.5 screen lengths away, so that probably makes a difference.