I have no qualms with downloading music to see new acts, i have about 75% legit of my collection, the rest being obscure and really difficult to get a hand on, ie bootlegs, limited edition first release stuff and imports.
All this bullshit about how you're ripping off the artists, for the majority of the artists on major labels, the returns from a cd which falls under the allocated budget and after all the cuts have been taken is around $3. Now divide that by say 3-5 people in a band per cd and thats not a hell of a lot. Thats IF it recoups the production costs as well as staying under.
If you want to show your support, turn up to their gigs and buy merch, thats where their income comes from, ticket sales and tshirts.