The answer is: YES. From a moral and ethical point of view. You are opposing to trust-like organisations which have the goal to make artists become thier profit-prisonners. Make sure you donate to your favorite artists (1$ per album is normally around 50 times more than what they've got if you had bought it in a shop.) to support them, that's all...
And don't let people like the RIAA get you, because morally, this might be the right thing, but legally... that's an other question...

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