Then why don't you finish it? Maybe then you will share our enthusiasm.

4cd install is not happy times.

I'm regularly tempted buy it on 360 since its one of the downloadable games. I'd get it on GOG though if I could

It makes the install process 400% more engaging than regular installs!

Holy crap, really? How many points does it cost?

About 0.15 seconds on Google.
http://www.xbox.com/en-US/games/p/psychonauts/
"1200 Microsoft Points", so I guess about 15 bucks...?
http://store.steampowered.com/app/3830/
$9.99 on Steam (fuck yeah Steam)

So... it costs $9.99 on Steam, but it costs roughly $15 on XBLA? This world sucks.

For consolefags, yes.

But why would anyone even play Psychonauts on the 360 then? I'm sure around 80% of computers used now can play a four-year old game.

Any number of reasons, liking the console controller, wanting to keep gaming on the 360, wanting to play on a big tv, wanting to avoid steam, simply not wanting to play on a computer...

You can use any kind of controller you want on PC, including the 360 controller
You can play on a big TV or monitor with the proper cables and converters
Why would you avoid Steam? It's the future of gaming
'Simply not wanting to play on a computer' is not a valid reason :-(

Already got a cool physical copy of Psychonauts, but I will probably buy it again.

You can most certainly game on a big TV with the correct cables and use the 360 controller to play the game but that's still more work than "press power, wait 10 seconds, load game from HDD" that you can do on 360. Not that I'm advocating less work, for things you enjoy you should be made to put in some effort.
Not wanting to play on a computer is a perfectly adequate reason, some people like to browse the net on a mac and whilst I can't shake the belief that this is the action of serial killers and the clinically insane, I can't deny that it does the job they want it to.
As for steam, there's a thread or 20 but it suffices to say that some people don't like it. Having just reinstalled it myself to try the Empire Total War demo, I have to say it runs a lot better than when I tried it a few years back and I may well end up using it but it still feels to me like an unnecessary program.

I'd also like to take the time to say, butts.
I mean, the xbox 360 controller works on a PC so you could use your controller to play psychonauts on a pc.

The difference between console gamers and PC gamers is that the console gamers don't want to spend any extra time getting into their game. If it's the difference between popping one disc in vs. four, then it makes a big difference to people who can't waste any of their time setting up a suitable gaming environment.
Personally, I think using this as the single criterion for purchasing games is ludicrous since computers are perpetually ahead of console games in terms of technology.
Regardless, I had no problems playing Psychonauts on the PC. The 4-5 discs for installation were surprising (I thought it could have been on a DVD, personally), but that type of thing shouldn't make or break a game.
There are lots of goodies in the game that GOG could release with it. Even though I already have a physical copy, I would probably buy it again on here to get a digital copy.