If it's something I like, I'll buy it. I try to support the artists I like, most songs can be bought for around a dollar, that's really not asking very much at all compared to how much money you spend daily on other crap.
Back in the day I used Napster when it was popular, different Gnutella clients like BearShare and LimeWire. Back then nobody (at least none of my peers as an early teenager) cared about music copyright. Most people never even thought about it, they didn't think that something as simple as recording a song off the radio could be considered theft.
Also used to use some sketchy sites to buy my music from, AllOfMP3, allTunes, mp3Sale.ru, MegaBoon. I figured I was paying for it, so it had to be legal at least to some degree. Some part of me wanted to believe that the money was going to the artists, but later I finally told myself who did I think I was kidding...
I still like to download and listen to mashups, most of which you can't legally buy. I also like to download music videos from YouTube, with all the different VEVO channels for different artists it's pretty easy to grab every popular music video a particular artist made. I like to play them full-screen on my living room television on shuffle. I would pay for them if I could, but the only places I've found to legitimately buy music videos are iTunes and Amazon, and I absolutely refuse to deal with DRM protection. Offer me legal, DRM-free MP4s and I'll be a loyal customer, until then, I'll download from YouTube.