There isn't a way to burn a DVD from the digital download. However, if you purchase digital download, you will be emailed a product key that will work for as long as you have a copy of the sim + internet access. :)
In general I recommend digital download because it is instant gratification, and many computers (laptops, Macs, etc) no longer include a disc drive which is required to unlock the sim with DVDs. If you have a slow or inconsistent internet connection though, DVDs are the way to go.