Any film that I want to watch on the tv. I burn onto a DVD-RW.
Mainly because:
A) I can use the disc again after watching the film.
B) If the films is rubbish, I've not wasted a disc.
If the film was any good I can then either copy it to a normal DVD (DVD-R) or if the film was REALY good, wait for it to be released and buy it.
Downloading films may be illegal, but I have saved a fortune on films I would have normaly been tempted to either, spend a small ransom to sit in a stuffy theater or go out and buy the DVD.