Mostly I download them. It's quite expensive to buy all the animes and I love the shows that are currently airing. And not every anime will be published anywhere else than in Japan. So there is no other way for me. .-."
But when I really really like an anime I tend to buy the DVDs too. So that I can watch it again. >3 (Although I don't like that it's always dubbed - I rather watch the subbed version on the DVD ^^)