Let's say your hard copy breaks, gets scratched up, or is lost somewhere, you won't have any MW2 to play unless you buy a new copy.
Through Steam, let's say you're getting a new computer, reformatted your current computer, etc., you'll just have to re-download it how many times you want after that.
Personally, I'd get the hard copy just because I feel 'cool' having the disc and case.