Call me old-fashioned (I won't take offense), but I really like books. As in the sort you can hold in your hands. Sure, e-books are convenient, eco-friendly, and great in their own right, but there's something to be said about holding a book in your hands.
For starters, by reading physical books, you're participating in an ancient tradition. E-books and the gadgets that read them are relative newcomers to the scene. People have been writing things down onto papyri since around 2500 BCE, so that's four and a half millennia there. While I'm sure writing developed longer ago than just 4,000 years, the detail to note here is the medium employed -- papyrus and paper are easily transported, while stone or clay tablets are not. And let's not get started on cave drawings, which are altogether immobile. Generally, whenever somebody wrote something that he wanted somebody else to read, he wrote it on paper.
I've found I can make a deeper connection with the subject matter when I hold the book in my hands than when I read it on a screen. This is just my personal observation, but the concreteness of the medium (a physical book) helps make the subject matter more concrete (like the parallelism there?). With an e-book, you're one step removed. You're not getting the author's words directly anymore. Instead, the subject matter is electronic data which the e-book reader interprets and displays on your screen. A book is an unadulterated conversation between the author and the audience. With an e-book, the machine acts as a middleman, a filter. The connection becomes distant, cold.
I've also found that the physical act of reading focuses me on the fact that I'm reading. It's a contemplative exercise. In my experience, actually holding a book and turning the pages focuses me on what I'm reading. I find e-book readers can be distracting, especially when mine chimes in occasionally to advise of a new email.
E-books are great, but a bookshelf crammed with books is a whole lot more impressive than an e-book reader sitting on a coffee table, wouldn't you agree?