We do it all the time. Pay to download video; pay for the dvd; pay for CDs, pay for LPs, pay for Cassettes (ok, old example, but I can't tell you how many albums I have in multiple formats).
An Audio book is a performance of a written work. No computer can match the quality of a performance by a Stefan Rudnicki, Scott Brick, Frank Muller (RIP), or Gabrielle De Cuir. Of course you'll pay for it separately. I think the argument is weaker for the e-book vs. paperback; but even there we are in a strange environment where it is now often cheaper to just buy the real thing than it is to buy the digital version.
If you want audio books, then pony up some money for Audible.com. Great service. Huge library to choose from; mostly unabridged. High quality audio (in four quality streams you can pick to download). I have been a member for six or seven years. Spend a little more than $100 a year, and I get about 12 full unabridged audiobooks. I can't tell you how many great books I have listened to. Indeed, I have a 2 hour drive to nowhere this afternoon (beautiful Macomb, Illinois) and Audible will save me from sheer boredom.