I have downloaded some music, but in general it's a pointless exercise for me because:
a) I like having the whole album (a full opera, a full recital, etc.) and downloading albums is often not significantly cheaper than buying the album;
b) I like OWNING a real, legitimate CD. I can store it, admire the glossy CD brochure, read through the information (libretto, essays, etc.), download the CD to my iPod if I desire, play it on any medium I wish, and it's MINE;
c) I like owning the hard media rather than simply an audio file. Less risk of something going wrong and having to purchase it again for download. Okay, admittedly on SOME download sites, you can re-download the same tracks you've purchased as many times as you want... but what happens if the rights for that album as a download are suddenly removed? There you are, stuck...;
d) Many albums are not able to be downloaded in Australia - the rights limit download to the US or UK;
e) The range for classical music as downloads is incredibly stunted in comparison to what's available for pop and rock and virtually any other genre;
f) Australian internet speed is pathetic in comparison to most of the rest of the world. Downloading albums for us is significantly slower than it is for other countries. Europe in particular mocks our snail-like internet speed!
I only download albums if I can't buy them (out of print, unavailable, no other way) - or need them in a super-hurry and can't obtain the CD locally from a music shop. If it's not urgent, I simply order from one of several online sources.