Drives me nuts too. And I hated it on the Captivate, but a little Root action fixed that. I'm so used to having physical buttons on my Desire, which didnt matter if they lit up or not, I could still feel them.
Only thing I don't like about physical buttons is in very circumstantial situations it is unDesireable (see what I did there?) to apply the required pressure to press the buttons (like whin in a gooseneck car mount for instance)