Zeus impregnates Danae in the form of a shower of gold. Not only is this form a very practical way for the god to slip though the hole in the ceiling, it also heightens the sense of magic and majesty around the conception of Perseus. It just makes Perseus seem all the more awesome, doesn't it? It just wouldn't seem as cool if Zeus had come down as...we don' t know...a shower of potato chips or something like that. The fact that Perseus was conceived by such a rare and valuable substance as gold, foreshadows the fact that he'll lead an extraordinary life.