I tend to download a lot, specifically if it's a song I've heard on the radio and I've never heard anything else by the band, or if it's a song that is off a CD that I know for a fact it will be difficult to find in the United States, much less in my small town. My way of deciding whether or not to buy a CD is simply this: if I like a minimum of two songs on the CD (or have a previous CD from the same band) and have to have the CD on the instant, I'll download it, usually from iTunes. But if I can wait for a bit, I'll buy the CD instead.
To be perfectly honest, I don't actually like downloading CDs very much. It feels like I'm cheating, or something. But like I said, if I have no hope of finding any CDs by the band at all in my town, then I'll download it, since I don't usually have the patience for Amazon.
(All those examples are Japanese CDs. My dad has the patience for Amazon, and he's the one who passes all the Nightwish, Wintersun, Opeth, Ensiferum, etc. on to me. Nightwish less so, since Dark Passion Play was actually at our local Target)