1. You cannot annotate them. No writing in the margins, no circling or underlining interesting stuff, no putting in a footnote proving the author's argument is illogical or flawed. With a book, you can scribble in it and then pass it on to a friend. This is a major irremovable flaw in any DRM system.
2. They're not efficient. By this, I mean that it's more difficult to vary your reading speed, and in particular to skim to the juicy parts.