I do download US TV shows though only the ones that are hard to see over here. I would much prefer to buy them on DVD, when (or indeed even if) they become available but I just simply cannot afford to do so. If a show I've been downloading airs on a channel here that I'm able to receive (without having to pay much more to do so) then I stop downloading it and watch it normally through my TV.
Currently reading... The Servants of Twilight by Dean Koontz
"Time is an illusion. Lunchtime doubly so."