As far as Diablo 3 goes, there's virtually no benefit to using a physical installation media. It has the tiny Battle.net launcher on it, and that's it.
However, if your connection sucks as much as mine does, and you don't want to spend a week downloading D3 (or months, if you have a transfer cap!), I recommend finding someone who's already installed the game and copying the game's installation folder to your computer using a USB stick or something similar.
If you point the Battle.net launcher to your friend's installation folder on your computer (using the
Locate link next to the big
Install button), the launcher will work out what it can use and what it needs to download.
This even works cross-platform: you can copy the installation folder from your friend's Mac and put it on your Windows PC (or vice-versa), and nearly all of the D3 game data will be used as is! The launcher will just download the platform-specific executable. This is, to my mind, the best way to avoid heavy downloads. If you don't know anyone who already has D3 installed, I'd follow @Aequitas's advice and download the game from a PC that has better Internet than you have at home.