I agree that downloading something when you have the opportunity to buy it is wrong. Plain and simple, it's stealing.
But if you're the fan of a band who only releases music overseas, or if you want to see a movie that has no hope of being released in the US, then it's perfectly justifiable to download, in my opinion.
I use Azureus, as I already mentioned, and I downloaded a plug-in that blocks the MPAA, RIAA, and other organizations like that from getting my IP address. I don't know if it works or anything, but I haven't downloaded anything illegal (yet). At the moment, I'm downloading a concert video, and TV appearance by Garbage. This isn't illegal, but if I were to copy the movies to a DVD-r and then sell it on ebay as "Exclusive Concert Footage!!!!" then that would be, I'm assuming.