While I've surely "pirated" plenty of audio files in my day, I wouldn't say the majority of mine are like that. Most are ripped from the hundreds (no exaggeration) of CDs I bought new and used all through high school and college or purchased from Amazon, etc.
Still, pirated or not, I like having a space on my NAS for my traditional Music/Artist/Album/[track]_[title].mp3 folder structure. Pointing Winamp at it works fine for the majority of my listening at home.
Of course I've come a long way from running an unlicensed Shoutcast station in the early 2000's (it was nice having a friend who worked at a small hosting company who gave me the space to host the server and all the bandwidth I could need to stream to my massive audience of maybe 5 or 6 people at once ;)) but I still love listening to streaming "radio" in the car without any need for subscriptions or any hardware other than my phone. I've been doing it since I had a Palm Treo, but the move from a max data rate of ~256k/sec to LTE has certainly helped.
Only thing I really miss these days in Winamp is a way to cast to Chromecast/Chromecast audio in other parts of the house. Not sure if anyone's hacked together a plugin but I haven't really looked.