Then I stumbled across these articles.
It turns out that buying CDs don't really support the artists that much anyway. Read the articles to see the actual math, but a typical artist gets about $24 for every $1000 of record sales. If you buy a CD for $10, the artist gets 24 cents. The system seems designed to keep the artists down, while making the record execs rich. When the industry sues you for allegedly downloading music, they're not fighting for the artists. They're fighting for themselves.