I don't. It's against my values. I think stealing is wrong, and downloading music is kinda like stealing in my mind. Therefore, I won't download it, no matter how much I want it. It goes with anime too for me, even if it's not even in English yet. I would feel way too guilty to get it, because I know it'd be like stealing. People took time and effort into making the show -- why should I get it for free? They deserve getting paid for it.
Besides, even if the artists are filthy stinking rich, they still deserve being paid for what they do. It would be like working at your job, and then the manager was like "nope, they've stolen too much to give you the money you need". I realize that some artists can deal with losing that kind of money, but I still don't want them to lose any, that they could easily get from me buying their CDs. They're not too expensive where I come from, so it isn't a big deal for me, that's all.
Overall, I don't, because it's just wrong in my point of view. However, I'm not going to go around and critisize people for downloading it. Let's face it -- no matter how much the goverment tries to stop it, they won't be able to. Ever. There will always be a way to get illegal music.