I miss the big boxes and the extra stuff, but I don't miss installing from floppies or CDs or even DVDs. I don't miss having to have the disk or disc in the drive while playing either.
My feelings as well, and being old, there are a lot of things that I miss that used to be done a certain way but no longer are; change is inevitable, not necessarily good or bad, it just "is". While I miss all the physical aspects of a game purchase, I don't miss the installation either, it's been at least 10 or 15 years since I installed a game from physical media. There's also enhanced versions, remasters, or remakes of older games that make playing them on modern systems much more enjoyable.
Digital distribution is the only way to install a game now. Click of a button and the game installs with all relevant official patches installed. Unofficial, or fan made patches, as well as mods are usually widely available and fairly easy to install, making the original game even better.
What I miss about physical games are physical manuals with care put into them, especially for more involved and complex games.
I still wish I had a neat little themed glossy manual to thumb through next to me though.
Manuals are what I miss the most from "boxed" or physical versions of games no longer being viable, both in terms of installation and production costs for the developer, that and the physical maps you could get to track your journey, whether made of paper or cloth (cloth ones were awesome).
Many games were complex enough, especially D&D games, that I always kept the manual close to my keyboard for reference. I still keep a scratch pad (and a pad of graph paper) handy to make my own references to a game's details. Tutorials, or tutorial areas are all well and good, and I appreciated them, but I miss the physical reference that a manual can provide throughout a game.
A good example of that is the manual that came with Baldur's Gate 2. Great physical construction, 263 pages long, and full of detailed information on skills, spells, abilities, characters and details of major areas you'd travel.
And if you do like collectors edition, what's your best and favorite ones you've seen or been lucky enough to own?
As to that part of your question, yes I love them for certain games, as long as they're primarily physical objects and not digital. I won't buy a collector's edition of a game that is strictly digital. Digital armor, weapons, soundtracks, "making of" videos, or PDF artwork, that type of thing. If some of those things are included with the physical objects that's fine, but I won't pay double or triple for just digital only rewards.
I've bought a few collector's editions over the years, but it's hard to pick a single favorite. Three of my top favorites would be the 1st person Fallout single player games:
Fallout 3, with the metal lunchbox and pipboy bobblehead and hardcover digital artbook:
Fallout New Vegas with Caravan cards, poker chips from all the casinos, and a hardcover graphic novel:
Fallout 4, with the Pipboy that had a place for you to insert your cell phone, download an app that connected to the game and view all your stats via the app. Very glitchy and unreliable, but it was fun when it worked. The only "interactive" collector's edition I've experienced: