Depending on the job, it could be the best way to apply. If you are applying to a large company or corporate position, the internet is a vital part of their business. There is no difference between an emailed cover letter/resume and a printed and mailed one, as long as you format your resume well enough that it will work with most word processor software. The only exception I can think of is applying for a retail position at a small business, in which case you might want to stop by and talk to the owner or manager when you apply.
The people telling you this may have an old fashioned mindset, where internet communications are "impersonal." However, as I have mentioned, there is really nothing more personal about a hard copy of a cover letter/resume, except perhaps your signature on the letter. I saw an OLD episode of Seinfeld where Elaine was completely offended that someone called her on their cell phone, because back then it sent the message that calling her was unimportant so they did it away from home. Times have changed.