#1 -- it's nice to support the artist if you really enjoy their music
#2 -- not all music is available via torrent/usenet/whatever, especially if it's not mainstream/Top 40/death metal
While #2 is true to an extent ('not all music is available') you've gotta get pretty damn obscure before you can't find something.
And #1 means I wasn't clear enough...I was referring to the idea of buying a CD for a friend and downloading the MP3's for yourself. You're still 'stealing' the music (big air quotes). The OP just seemed to imply that this was more acceptable than downloading from a different source, when it's the same thing.
Most of my favorite artists are pretty vocal about piracy, anyway...they endorse it. It has been many times that I have heard a band's lead say something to the effect of: 'Thanks for coming to our show; if you liked us, please buy our album; if you can't afford it, download it and share it with a friend.'
Those in the industry who are not heavily promoted generally 'get it' and realize that increasing their fanbase is of the utmost important. Ironically, they also tend to garner respect with such comments, which can lead people who normally pirate music to actually pay for the album.
Especially at a show, where they make more money on it. Although they probably still get a hell of a lot more from a T-shirt or something.
CD's distributed by large record companies and sold retail make the artist a notoriously small amount of money.