Jeez....

Or you could just install Linux, and just use Wine, which has superior compatibility with older games, better than modern Windows itself, instead of triple booting your PC with obsolete OS versions that probably won't even install unless you have period correct hardware.

Wine and Linux are doing more for old Windows games preservation than Windows, so you should take advantage of it.

Physical, easy. While if you have downloaded you GOG game that means you own it until you delete the files, or they get corrupted, but the truth is that your ability to even download the game in the first place is a revocable license. Free games have already bugged out of people's libraries before, it's only a matter of time until paid games are intentionally removed by publishers. Physical media lasts until the final copy of the game has been destroyed, which is a huge W for preservation. Publishers really need to start publishing games on USB sticks, otherwise some of our favorite games can be lost to time, the GOG team can't find every single game that has been lost to time.

On a side note too, you can buy and sell physical games, meaning you can just sell your game when you are done with it, or give it to family / friends.

Physical games, hands down.
Sure, digital games are more convenient and I might run out of physical space at some point, but I love collecting physical copies for their box art...and sometimes the goodies that come with a physical copy. :)

Not a fan of steelbooks though. It's highly unlikely, but I always fear bending the disc too much will snap it in two. :P