I always download music. At .99c per song on iTunes, it really adds up. To be honest, iTunes is scamming us. I'd love to be able to support my favorite band via buying their songs, but if I were to do that, I would never do it via iTunes.
I used to torrent my music all the time, but now I buy legally from iTunes as the quality is better and I don't fancy getting into any trouble with the law. I've heard there's big fines.
I usually buy from iTunes because it's convenient for me and it supports the artist at least a bit. Occasionally I go out and buy a hard copy but it's got to be something special for that. If I download something it's probably because it hasn't been released, ie it's a cover or super new song.
EDIT: sorry! I accidentally rated this thread one star, lol. Excuse this touchscreen phone
I buy the CDs in shops and import them into itunes. Sometimes I will buy from Itunes if the artist I want is not available in my country. I mostly buy off of Itunes now as the only shop near me that sold japanese and korean music shut down.
I tend to buy music from their site directly. This cuts down on costs, and for a whole album you can get for a few dollars cheaper than off of Itunes. Then I simply transfer the songs over to Itunes directly. Legal, and saves you money