I download them because I can XD
It's just much more convenient for me considering I view them on Windows Media Center. I can flip through different genres via remote from my bed. Since they're all organized, I can easily find what I'm looking for.
Viewing online makes me lazy. I have to sit up, and click ... search for stuff ... click ... loading ... oh wait, fakku is down ... etc.
I guess it's a matter of preference.