Well, in theory, we should pay for them, because they are products, and people might argue that every album you download is an income loss to the owners. I don't think it's true, since the majority of people wouldn't pay for it even if it was the only chance to listen to them. Right, you'd buy a few albums but that's all, and there's a chance that no-one would discover random bands on youtube, making only the already famous bands more famous.I'd say you support them financially the most, if you buy ticket for their gigs.
I can imagine that the topic fits more the movie industry, but it still seems very profitable.
Usually, I only hear complaints from videogame developers. But in my opinion it's the last convincing of all, like sure I can afford some 20-dollar album, but I wouldn't pay 60 for a videogame. Everyone would wait for the sales, if they'd buy it at all.