Forgive me if I'm pointing out something obvious about shareware, but often no further digital download was needed because the shareware or nagware download already contained the complete software package. (does not apply when you're distributing one level of a ten level video game) A user could complete the purchase of the full software and receive a key to unlock it via phone, snail mail, or email, with no transfer of physical media.

And lest we forget, a lot of shareware was based on nothing more than an appeal in a readme.txt and the hope that users would send money if they felt the software was useful - nothing more formal than that.