Mp3 vs. Cd's

So last night, I got on Zune marketplace, and I downloaded the new Jadakiss album, "The Last Kiss." Over the last few months, maybe since December when the Common album came out (which was available for 99 cents on Zune marketplace. Great deal!) I have been downloading my music (legally. I pay for it in microsoft points which typically run, $5 for 400, $15 for 1200 points, $25 for 2000 points, and so on.) Rather than rushing out to the store and buying a new cd. My reasons for doing this lately is because I can get the albums early Tuesday morning, and listen to it on the way to work, or at work, and not have to wait till my lunch break to go get the cd. It's just a more convenient thing. Sure, I loved going to the store on new release tuesday, and getting the hot new cd, ripping off the plastic wrapping, throwing it in the cd player, and jammin it. And while I jam it, I used to love reading the credits and who produced the record and all that jazz. Since december, I have only went to Best Buy to purchase 2 cds ( MF DOOM's "Born Like This," and Joe Budden's, "Padded Room."). I have downloaded countless others. I'm legit though. I pay for them.
Here's my debate for the day. Is it bad to download these CD's from Zune Marketplace or iTunes, or is it the same as going out and buying the cd? Like, am I wrong for getting my music this way? How does the artist get paid if I download it from Zune Marketplace? As an artist myself, these are important questions because I would never want to cheat a musician of his paper. Some people may say, hey, screw them, they're millionaires. They don't need my $10. But I disagree. As a musician, this is how they feed they're family. This is their job. I don't go to work, and not get paid for it. Why should they?
Is it better to buy music from the store, or is it just as good to download the music from Zune Marketplace or iTunes? That's the debate.