The game business is switching to a model where you download them and a service running on your computer verifies that the game is legal.
If it's serious games you're looking for, Steam:
http://store.steampowered.com/
If it's more casual games you're looking for, Big Fish is the king:
http://bigfishgames.com/
How about Indie games, Impulse:
http://www.impulsedriven.com/
I have switched to using Steam whenever possible, because if you have multiple computers, like if you use a laptop half the time and a desktop half the time, Steam will allow you to run your purchased games on both of them, without additional licenses and without having to carry around CDs.
(There are still some major game manufacturers that don't do business with Steam because they feel they are bigger and more powerful and don't have to. EA is one of them. Fuckers.)