That's according to a new survey, which reckons one reason people do it is because legal sites don't offer enough different types of music.
Legal downloading has been getting more popular, but downloading has still been blamed for a big drop in music sales.
In the UK it's hoped a recently launched download chart might boost legal sales of music on the internet.
Fewer than half of the 1,000 internet users surveyed said they'd checked out a legal online music shop like Napster or iTunes.
But of those who had, most said they didn't offer enough of the types of music they wanted to hear.
And only 9% said they would never take music illegally for nothing.
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