I think it is self evident that artists benefit from people buying their CDs for the obvious reason that if they didn't, they wouldn't enter into contracts with record labels to have CDs produced.
They may benefit more from people going to their concerts than from people buying their CDs, but that does not invalidate the latter.
Furthermore, the artists don't really have any intrinsic right to be supported. When I buy a CD, it's not so much out of a desire to support the artist but rather because they aren't giving away the music for free, they want to have money in exchange. They can't stop me from getting the music for free, but that does not make downloading it right.
Now, I suppose in practice the artist gives some rights to the record label, and so when I buy the CD the majority of the money goes to the record label instead. But nevertheless, the artist made the deal with the label legally, and without compunction etc., so in turn I respect the right of the record label over the music. Even though the number of RIAA supporters is less than the number of Neo Nazis, that does not mean they have no rights at all, it just means they are asserting more power than they ought to have.
I think to some degree the problem with downloading music is that it is so easy to do and no one feels the need to hide it. So people don't really think of what they are doing until the topic of pirating music comes up and they feel the need to justify themselves with various arguments which are truly retarded, such as, the RIAA is corrupt so I can download music, the record labels are corrupt so I can do it, the band makes more money off concerts than off CDs so it doesn't hurt them at all if I download, people in Africa are starving, therefore downloading music is ok and anyone who complains should first deal with world hunger, we all drive over the speed limit, therefore, anyone who complains must be a hypocrite because they are breaking the law and yet have the gall to accuse others of wrongdoing, I don't have enough money to buy all the CDs I want, therefore I can download huge collections, because the record label is rich, when I download I am pulling a Peter Pan, the ability to download anything you want lets you sample everything, therefore, it's ok if I download 80 CDs if I pay for 4 because otherwise I would pay for 0, etc. and they are all (to my mind) bogus.
I've pirated a fair amount of stuff, and will probably continue to do so in the future and commit various other morally dubious acts too. But I've never felt the need to justify my actions as being right, or even as being not wrong. This is not to put myself up on a pedestal as being honest with myself or anything, but it's just a little hard for me to believe that so many people would consider pirating music acceptable if they didn't have to justify their own piracy. Maybe that shows I am narrow minded or lacking comprehension, maybe it doesn't.
Edit: Damn, that was a lengthy rant. I now await for someone else to post an equally lengthy rant about how I am a retard.