I've downloaded music before, and the only thing stopping me now is that I"m too lazy to get a p2p client / find one that's decent that isn't spywaralicious. I've almost never downloaded tv or games or such, because my connection is far too slow.
However, as I've said before, the morality issue is somewhat different here in Canada, as copying music is legal. This doesn't really change whether the whole idea is right or wrong, but it definitely does make things easier on the conscience - whether that's a good thing or not I'm not sure.
Aslo, edczxcvbnm raises a good point about TV shows. Is downloading an episode of a show worse than taping the broadcast? What about taping radio shows? Couldn't one say that downloading a song to play it is just like requesting that song on a station and listening to it over the airwaves?