I'm on both sides of the fence on this one depending on whether I'm thinking as a musician or a 'listener'.
It pisses me off totally when people say they download songs to 'sample' them and then they'll 'go out and buy the album if they like it'. It's such total bull. If you can get an entire album off one of the alt.binaries.mp3 newsgroups, you're not going to go out and spend $20 for the CD when you've already got the thing.
It also pisses me off when people launch attacks on people asking for pirated software online, but don't think twice about downloading MP3's.
As far as the record companies are concerned...the more you steal out of their pockets, the less money they're going to give artists that they sign...the less money they're going to pay to help you tour...less albums, less signed bands. In the long run you're just shooting yourself in the foot.

Now the other side of the coin...
I download at least 20 songs a night from all the various MP3 newsgroups...burn a CD in the morning and listen to it during the day. If I like what's on it, I keep it and listen to it again. If I don't like it, it gets tossed in the fireplace.
There's a part of me that realizes the irony here, but I've got absolutely no other way of learning mixing techniques, how songs are written, guitar solos, mastering etc etc.. unless I can listen to as much 'stuff' as I can. And there ain't no way I can afford $20 a day for CD's and radio sucks the big Celine.
On the other hand even though it's ripping off artists and fellow musicians, I haven't paid for a CD in over 2 years and don't plan on ever buying one again. What's the point when I can do a REQ: Dark Side of the Moon in any newsgroup and in a couple of days, somebody will not only upload the album but post studio outtakes, live versions, remastered versions etc etc.. and you can pick and choose exactly what songs you want on one CD.
Then again, on yet other hand...if I spent a year working on my own album and the next day saw the whole thing posted online, I'd be really pissed off.