Rant warning, unpopular views ahead:

Besides illegal downloads being 'illegal' they are immoral. At the end of the day it's the bands that gets hurt - bands are people, record labels are corporations (business entities whose sole concern is the value of their stock and the profits they can generate for their shareholders). Business and/or corporations are not bad, they are a fact of life (albeit a necessary evil in some cases!). Without trade we would not be lucky enough to be living in a democratic capitalist societies. People forget that the bands that they like are the ones who get zero every time an illegal download is made. No cd sales or paid downloads = no bands.
Take Metallica for instance, everyone comes down on them because they stood up to napster. Wouldn't you if you had just invested the last 15 years of your career to becoming the biggest rock band in the world followed by about a year of sitting in a smelly studio creating your biggest album only to realise that someone stole it and made an unlimited number of copies available to everyone in the world with a computer.... for FREE??! If that was you, you'd be pretty pissed with Napster too... at least I would.
Big bands have BIG overheads and even BIGGER pressures put on them by the record labels to make incremental returns on investment (eg. $20M invested to record and promote the Black album = a minimum $100M contractual return for the record company).
I personally just buy cd's or mp3's from bands own websites (unless they are cheaper on amazon). You can't really expect anyone else to treat you fairly if you steal stuff.
Just my humble opinion :-)