I do understand when people download for free and don't buy CDs... I'm not exactly made of money myself, but if it's a band/album I really like, I'll generally do as much as I can to support them, so I'll buy it as soon as humanly possible (plus I just like actually being able to hold it in my hands / look at the booklet, etc?). Buying the albums generally won't make bands much money (unless they're multi-platinum or something, but lets face it... how many decent bands get album sales that high?), but the more sales, the more the label are going to pay attention to them.
In an ideal world, CDs wouldn't be so god damn over-priced in the first place... but that's the bloody music industry for you.