With all the "controversy" over the last decade about music piracy, not much has resulted. It is still dead simple for anybody with an Internet connection to download music. And it probably will be for a long time.
The question is, do we really care? I mean us, the consumers. Let's see, what happens when I download a CD instead of buy it. I have an extra $15+ to spend on more important things like food, or rent. What about the receiving end? HMV/A&B Sound/Whoever doesn't have my $15+. Oh well. The recording company doesn't have the $15+ - markup. Big deal. They make enough money from suing people. Finally, the artist doesn't have the $15+ - retailer markup - recording company markup. Ok, I'll go see the artist in concert (unless it's Metallica, who's music I love but they're douchebags so I refuse to support them). Works for me, and we skip the middlemen.
There is always the question of ethics. Is it right to download a song without permission? Why wouldn't it be? You're not stealing it. Stealing it would be going into someone's house and swiping their CD. Stealing means that you now have it and the original owner does not. Then there is copyright infringement, which is when you take something and sell it as your own. So if you take a song and then distribute it saying it is yours, that is copyright infringement.
Unfortunately the RIAA and others have twisted the meaning of stealing to their own ends. When you download a song, you are making a copy. When somebody downloads a song from you, they are making a copy. It is as though everyone is making photocopies of your photocopy. Last I checked, this was not illegal. When I was in university, there were photocopiers in the library filled with copyrighted works. Some people I knew would even go so far as photocopying an entire textbook. Nobody is cracking down on this, so why should they crack down on the music copying? It's essentially the same thing, it's just a lot easier to copy files than it is to copy physical sheets.
So don't feel bad for downloading music. If you want to support artists, go see them in concert. Or go to a bar where they have a live band and pay the cover. Heck, mail the band a cheque if you feel the need. Don't support these money-grubbing middlemen who profit off of other people's work.