If you buy games that come on a DVD disc, then yes you will need to have the disc inserted into the drive. Though rare, some games do not require you to have the disc in the drive.
The only games that I remember which do not require the disc to be inserted are:
X2 - The Threat once patch v1.4 has been installed.
Galactic Civilization II since there is online registration.
Games purchased from Steam, Direct2Drive, Impulse and a couple other do not require the disc to be inserted, because there is any disc. Those games are directly downloaded to your hard drive.