Storage isn't expensive, but managing files is a pain. Especially if you have to manage it across multiple devices. I just want to listen to some Nujabes, do I really have to care where it's saved, or whether I'm on my work PC, my laptop, or the media center downstairs? And that's before you get into the pain of syncing stuff onto your phone...
I pay for the convenience of not having to pirate.
(I picked this example because it is both what I am listening to now, and for the irony of it being unavailable on Spotify.)