I can't say I've ever bought a CD that I have to skip through. I skip songs, yeah, but that's usually if I'm just in the mood to listen to certain things.
As for downloading....I don't really like it. But I do it, for three reasons, primarily. The first is so that I can see if it's something that I like. If I don't, it gets deleted. The second is because I simply cannot afford to buy every CD I want when I want; I'm in college and largely footing the bill by myself. I download albums, and then as soon as I get a chance and some spare cash I go out and buy it. The third is if it's something I simply cannot get on CD at all. Like, I like a lot of video game and anime music. Most of that stuff I cannot find on CD, anywhere. If I can, it has to be imported from Japan, costs double what a normal CD does, and the shipping is ridiculous. We're talking a total cost of about $50 for a single CD. Sorry, but that's FAR more than I can afford.
Also, the stores around here won't let you return a CD unless it's defective, and even then they'll only let you exchange it for the same CD. Can't get an actual refund.