Interesting question. My initial reaction was "no". But I realised I don't do it. I guess I just don't watch much TV anymore. Anything worth watching is worth buying the whole series for.
Where I live, most shows air a few years late. I don't feel bad about torrenting them when I want the latest episodes. However I do go out and buy the earlier seasons on disc (though I'm suspicious about how authentic those discs are - they're certainly expensive but the printing on the CDs seem to indicate otherwise)