I only download old TV shows that aren't available on DVD.
It's not worth bothering with downloading brand-new episodes from the current season, because they're usually up on Hulu or the network's website the day after they air.
Clicker.com is like a TV Guide for legit streaming: search for whatever you want to watch, and if it's online it gives you a link.
There's no reason to download movies when there are three libraries within 10 miles to borrow from. How often are you going to watch Star.Wars.Return.Of.The.Jedi.[hAxX][LoL][5.1].avi?
Music? We already have plenty of CDs, tapes, and LPs, and high-bitrate DRM-free MP3s are cheap on Amazon. How many new Beatles albums can they possibly make?
For one-off listening, there's always Grooveshark, Last.fm, and official YouTube channels.
DVDs of old seasons are relatively inexpensive, especially if you buy those $20 2-season value packs at Target. Most TV series go down to $20-$30 per season after a few months, and the video quality is higher than XviD encoded rips.
There are ways to get cheap media: buy used. The Salvation Army, Savers, Goodwill, pawn shops, etc all carry videos. My local Goodwill has tapes for a buck, CDs for $2, DVDs for $3, and most VHS movies are $1. They're cheap and they're fun to pick through because you never know what you're going to find. If that would stack up too much for you, Netflix is a $10/mo all-you-can-watch video buffet.
I'd like to see what the piracy and DVD sale figures are for shows that have their entire back catalog streaming on the official website for free, such as South Park.