When at art college, it was drummed in to us how important it is to have a well presented physical portfolio that must be A1 or A2 and contain plastic sleves with prints of our work. So I bought myself an expensive A2 case filled it with sleeves of sites I had designed and/or coded.
As a web designer I often found interviewers surprised at me having a big physical portfolio to present. I wondered for a long time what other web designers did but never made any effort to find out as what I was doing seemed to work. Now I have moved into UX the question of what other people present at interviews has resurfaced.