legal / illegal downloads

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I must admit that on rare occassion, and if anyone asks, without prior knowledge, I have downloaded music etc without paying. Recently however I have started to feel guilty so have gone to legal sites and paid full price. As well as feeling a lot poorer now, I'm also confused as to why I felt guilty in the first place. Is it just the legal thing or guilt of some struggling artist losing out? If I have to pay so much for music it may be harder for new artists to break through as people can't afford to buy their music on a whim and discover new bands they like.