Ever since we got Steam we stopped downloading computer games illegally.
It's brilliant, simple, and often has offers that appeal to us.
The affordability and convenience of the thing is just awesome.
Music I don't always buy... though a fair bit of what I download is stuff I have/had on CD. (Certain exes and relatives have borrowed and never returned cd's and scratched the f out of others making them unplayable and so on... )
The main reason I do not buy music downloads is that they're often in some other form than MP3 and I can't burn 'em to CD, and so on.. all this protection junk just makes me not want to pay for the file because of the fuss it entails.
I get digital music to play on my MP3 player! When the file won't play on it unaltered, and is protected from being turned into an MP3, then the file's just a waste of space and money to me.
Plus, most music downloads, in my opinion, are overpriced.
Movies.. well...
There's a pizza & video shop up the hill. They have a "movie special" that is a 16" pizza with three topings (+cheese & sauce), 2l soda, and two movies (one new, one old). The pizza is so good that it's ruined us for pizza from "other" places, so we get it sometimes.. and then we get movies with.. cause it's cheap.
Other than that... we download some... occasionally....
If there was an online thingie "like" steam for movies that was as affordable as steam (come on! 2 dollar offer on psychonauts.. the most awesome game I've played in years!!) then we'd probably use that instead.