A very complex issue. CopyRight protected material shouldn't be shared without the consent of the author(s)/owner(s). It's best if the line is drawn there, because it saves a lot of legal wrangling.
It's fantastic when authors/copyright owners decide to share stuff through their official site or a condoned site, because they can get feedback from recipients and measure how many people are getting it, etc..
That said, like Lizard said, the temptation to download files is sometimes too great, and I have been guilty of downloading tunes from P2P communities. Usually, I like to download the stuff for an advance listen, then buy the official CD when it's available (like I did with DT's 6DoIT, or PoS's Remedy Lane). But I do have about 15 mp3 files that I've never bought the CD of. *insert guilty smiley here*
It seems that like a lot of things, file sharing is a necessary evil, and it'd be best for bands and labels to think progressively and try to capitalise upon it, rather than taking the knee-jerk reaction Metallica took towards it.
MP3 is a great format for many reasons, so bands and labels should try to work with it instead of against it. Let's have more official ways of getting MP3's, tying it up with band's forums and websites, putting bands back in touch with fans in a way that hasn't been seen for a long long time.