Why else? To support the band.
I download mp3s, yes, but I use it as a tool to explore the artists music so I know if I like them. If a band truly stands out in terms of excellence, like Opeth, I will buy their CDs, thus giving some of my money to the band to help them make more of the music I love. Conversely, if a band is so-so, and I think they're unworthy of my money, I have nothing against downloading their mp3s without buying a CD.
Not to mention I have a "thing" for authenticity. I like having the actual CD with the cover art and stuff. It sort of gives validation to me as a fan of that particular artist. Also, if everyone held your attitude and just downloaded mp3s without buying CDs, the music industry as we know it would collapse, and there wouldn't be any new music.