DVDs are less exposed to, say, data corruption. If a virus manages to infect your Mac and gets to the external HD then you're pretty much hosed.
However, it can get annoying to constantly look for a DVD and pop-it in your Mac whenever you want to look at something, as opposed to simply going to the directory it is stored and double-clicking it.
When I went to buy my DVD burner, I was still torn between the two, but a small talk with a store assistant and it was clear to me that I would buy the burner. (I haven't regreted it).
Maybe in the future I might also get a HDD but what has the priority right now is RAM. That damn RAM...

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iMac G4 OSX 10.3.9
RAM 256MB
LW 4.10.5 Basic
ADSL anything from 3 to 8Mbps/around 1024kbps

"Raise your can of Beer on high
And seal your fate forever
Our best years have passed us by
The Golden Age Of Leather"
-Blue Öyster Cult-