I buy cd's from bands who need the money. IE those who aren't on mtv. I also buy when I go to live concerts, or from really legit artists.
For exampe:
The newest radiohead CD, In rainbows, was posted on their website as a Set your own price CD. Most people set the price at 0.00. I figured, "hey their music is awesome, so I'll give em some scratc" $5 isn't much, but its more than nothing.
Usualyl I download music to listen before I go out and buy. Like I downloaded a couple of broken social scene songs, loved em, and went out and bought two of their CDs that were both under $10.