At the end of the day, it more that just the artist and the record companies that you are ripping off.
It's also the guy that runs the CDs store down in your local shopping center that needs to make a living too.
What if someone elses chooses what goes on the CD's you buy?
Promo CD's are both good and bad for me, good because their real cheap and contain good stuff, bad because I have to haul my ass a long way to get them.
It usually doesn't bother me, at least not when it's the artist who's chosen. Compilations on the other hand...
Point is, sometimes I've bought a CD for a few tracks it may have, and ended up discovering many other tracks on the CD that I would have never heard had I downloaded the individual tracks online.