Going back to the OP; seems to me that the main difference between USB and Blu-ray as physical media delivery systems lies in the fact that USB keys are not easy to store and organize for Joe User.
The "novelty shape" gimmick that DD mentioned, while perhaps clever, points at the problem. There is no standardized size/shape for a USB key, beyond what it needs to adhere to the form factor. Any standardization of USB keys for this purpose would include some sort of proprietary tech now anyway (see below.)
(Personally, the whole USB key idea smacks of "Fisher Price: My First Media Player." Yes, despite the fact that I own and love cartridge-based game consoles.

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On the other hand, the "disc" form factor (CD, DVD, Blu-ray and on) is monumentally ubiquitous, having already been agreed on by the major global electronics distributors better than 25 years ago. "Newer isn't always better."

Anyway, the way I see it, all these businesses want is steady cashflow, with a minimum of loss (to piracy, competition, etc.) Proprietary, set-top digital distribution (OnDemand, the PSN Network, etc.) gives them total control. I don't like it, you don't like it, but that is the future... eventually.
However, the question is: Is that really so bad? If a subscription service was reasonably affordable (and that of course is key,) contained the complete spectrum of "rich media" you care to consume, while making it instantly accessible, wouldn't you want that?