I try to buy all the music/games/movies I use. But I have to admit, a lot of the stuff I have, I wouldn't have bought if I didn't "try" it first. I do take pride in my physical collection.
If it's something I don't like, I usually just delete it and never touch it again.
And if I had more money, and electronic entertainment was cheaper I'd have a bigger collection
I did buy Fleet Foxes' album a while ago though =D
But Yea.. I think it's fine to download things if you end up buying them afterwards...