I torrent it or watch it online and if I like it enough, I fork over the cash to buy it legally. Such is the case with a few Gundam anime, Azumanga Daioh, and Clannad. Nothing Macross, because only Plus and SDFM are available to me, and the store I get my anime DVDs from has jacked the price up because they only ever have one copy of each... And no one buys them.
Way I see it, it's much like seeing something on cable, recording it on my DVR, and watching it a few times later before going to the store and buying the DVD so I can watch it whenever I want without having to clutter up precious space in my DVR.