Most of the digital purchases I've bought have been through Steam, just because that's the format of most PC games nowadays. We do use the respective eshops of Nintendo and Playstation across all of our consoles. While I love the convenience of being able to load it directly from the console, we can get them much cheaper buying the disc version brand new because we're in the Best Buy Gamers Club thingy. Kind of an annoying trade-off, like buying a soda in a convenience store. You gotta pay extra for the convenience I guess.
I don't really have a preference. I mean, sure, I buy a lot of digital versions from the eShop and PSN and such, but mainly it is like Brunn said; because they do not exist in disc format. Sales are my inspiration for purchase, so if it is cheap enough digital I'll buy it on whatever platform it comes out on. However, if it is on all three developers' hardware, I'll never choose Nintendo simply because the trophies and achievements add replay value for me if I like the game enough. I mean, I am not an achievement hunter except if I REALLY enjoy the game a lot (which is very rare with my fussiness), but having the option is always welcome.
Steam's my biggest one…I've never actually bought anything of the PSN or XBox Live, and the Eshop…I've bought some nostalgia trip things and the Smash DLC I wanted on there, but otherwise that's it for me…I don't go and buy completely new games, largely because for me at least I prefer a physical copy. Steam's the only exception as it's THE place for PC games nowadays, and their system works well.
I prefer Steam because it's pretty cheap and they have a large catalog. The Steam client also has a lot of useful features. The Xbox Marketplace, eShop, and PS Store all pale in comparison.
