Movies: If it's a movie I want to see in the theater, I see it there. If it's a 'wait till DVD relase' I've often downloaded it and waited until it went down to a reasonable price to buy it.
TV shows: My patience for watching TV, on TV isn't there anymore. It's not that I have to watch it all now, but with kids and stuff to do around the house when shows come on, I can't really watch it on it's time table. I also don't see the point in spending more money to see TV my way. My current practice is, I will watch it on Hulu or other available online option if it's there. However, if it's not (or if it puts a delay on the online broadcast) I will probably download it before that 'week' is up.
Games: I only game on my PC & PS2. I have gotten quite tired of spending $50 on games that just simply are not what they are advertised, or run like complete and total shit on my PC, even though my system specs are at or slightly above their suggested level. I feel that many game companies drop their system requirements on the box simply to get more people into buying their product. If it's a game I like and play often, I will buy it when it goes down to a reasonable price (usually $20 - $30).
Books: I buy pretty much all the 'story' books I read. My family has always grown up with a collector's mindset to reading books. Gaming books (DnD, Heroes [Champions], World of Darkness, etc...) I don't usually buy unless I am activily using them. The cost for a full book when you may hardly use 1% of the information just isn't right to me. It's also fairly difficult [near impossible] to even get to play a table top game in my area. A current example is that a friend & I are looking to get into a tabletop wargame called Warmachine / Hordes (2 different games sort of). Wargaming like this is a very expensive hobby to get into (at least to me) and I just don't want to spend a lot of money on things I will not actively use. So we are grabbing what we can from online to take a deeper look into it.
Manga and comics: I've only somewhat gotten back into comic books here and most of those that I've read are suggested by friends or from here (Chew, Unwritten, Y - The Last Man, etc...). Because of the slow, drawn out nature of comic books, I tend to download them more often then not and pick up trades of what I've read when I have the money.
MP3s: I will buy the music of artists I like. I will download some stuff just to get a feel for it, but most of the time I end up never listening to it beyond 2 or 3 runs.