I read an article in the Hollywood Reporter (not something I typically read but it came up under a search for "gaming news" so what can ya do) today that there was a 5% drop in video game sales last month compared to January 2010. The article was somewhat ambiguous about what exactly this meant - it mentions "physical sales" at one point but it's unclear whether total number is referring to physical sales of software, software+hardware, or if it includes non-physical sales (such as those made through Steam, the Wii store, App store, XBox live, etc).
It's also unclear if the statistic is referring to US sales alone or world-wide.
Given the state of the US economy, it's not surprising that US sales have fallen. Non-physical methods of purchasing games are becoming more and more attractive to many gamers, in particular computer gamers, and this could also account for the change.
Regardless, as a game developer, it's an important statistic to keep an eye on. We can only hope that with the economy stabilizing, people will have money to spare for games once again!