When I'm at home I prefer physical books, they simply make me happy. Also, buying them on my Kindle is really not much cheaper than buying the actual book, especially when I have a huge and amazing used bookstore a couple blocks away from my house where I can get them for the cheapest!
When I'm traveling, I prefer my Kindle because it's light and takes up very little space in my suitcase. Also, I can have multiple books on me during a trip which is great because sometimes I like to read multiple books at the same time and I'll pick up whichever one I'm in the mood for. When I'm traveling, I'm certainly not going to bring two or three different physical books with me. One other area that the e-reader is superior in has to do with all the wonderful classics that are public domain and free!
I've tried audio books two or three times but I just can't get into them. I don't feel the same level of engagement when I'm listening that I do when I'm reading and I don't feel that I experience them the same way, so I just don't bother with audio books anymore.