I don't download anything except authorized tracks -- e.g., sample songs provided freely on band's homepages. But that's not an ethical decision; it's only because my employer owns my computer and therefore I can't install file-sharing software.
I think file-sharing does not necessarily equal stealing. People loan each other CDs and such all the time, and back in the day we used to copy each other's stuff via memorex rather than mp3s. The industry bitched that that was piracy too, but they never went after it so aggressively.
I think it would be proper to think of file-sharing as sort of a big library where people can check stuff out, experience it, and see if they like it. If I want an album I'm going to buy it. Even with the free files I download, I do it for things I have been curious to hear but not curious enough to spend $18 on a new CD. Therefore I ain't costing anyone any money, and in fact I'm creating new, future purchasing opportunities, becaues if I like something enough I'll buy more of it later.
I am one long-winded mofo.
My favorite comment on this phenomenon is the anti-piracy "warning" text that Ani Difranco puts on her own albums. Instead of the usual "unauthorized copying is prohibited," she says "unauthorized duplication, while sometimes necessary, as never as good as the real thing."