Depends.
Sometimes I just can't find the actual thing by legal means. Go try listening to Bruce Woolley's version of "Video Killed The Radio Star" sometime. I can either try to hunt down a physical copy or I can just pirate it. See also: most video game soundtracks.
Usually though it's more about convenience. If I can just stream something on Spotify, I'll just do that.
If there's a movie I kinda wanna see but I'm not sure if it's going to be good I'll pirate it