I used to use a VPN to watch US Netflix, but they started to block known VPNs and I didn't feel like spending time on workarounds. On the other hand, downloading the latest episode of some TV series takes only a few mouse clicks. For sure easier than fighting geo-restrictions.
I still pay for Netflix, but doesn't really watch it much because of the tiny catalog available to me locally, I simply want to support them. Perhaps it will make me feel better if I would download any of their content. :)