I download a bit, a few tv shows (in my country it can take a long time for them to air, if the even do), but I usually buy them when the show stop and the full box is released. Oh and I did download Mass Effect 2 because it leaked a week early, and that just fit much better with my schedule, but I already had a preorder on the collectors ed. which I bought I just bought the PS3 version too, both day one purchases, so I don't think it's morally wrong.
I've also dl a couple of BBC documentaries, I now own all of em on Bluray.
With 200 DVDs (most bought at full price), 25 Blurays (again mostly at full price) and 35 PS3 games (mostly games I got on preorders) plus a lot of Wii and PSN games, I really don't feel morally compromised. I'm still a student so it does take a huge chunk of my budget.