Back in the days when I had slightly more time on my hands, one of my favorite things to do was make mix tapes and mix CDs. Before I figured out file sharing networks, I only used songs from albums I already owned. Once I discovered Morpheus, however, I did begin to download songs I did not own. I never considered this stealing, I think mostly because I never really thought about it -- it was free and easy, and I got to listen to a bunch of cool new (to me) music.
I think it is ethically okay to download a song I don't own, regardless of whether it is by a major label artist or a struggling, independent artist. This is because I would generally only download individual songs to determine whether I like the artist, and whether I like it enough to buy the entire album. For me, downloading individual songs is not the same as downloading an entire album. If I am just downloading individual songs, chances are I would not yet buy the entire album, anyway. Downloading individual songs for free gives me an opportunity to gain the knowledge I need in order to determine if I do, in fact, want to buy the entire album. Without listening to songs in advance, I will not buy an entire album.
If I already own something, I think it is okay to make one (or more) copies of it. As the RIAA website describes, it is okay as long as it is not for commercial use. I also think it is okay to make a mix CD to give as a gift to a friend. I have already bought the albums, and my friend would not have bought all the individual songs, anyway.
Shoplifting a CD from a store is not okay; I would already be in the store, so if I were not shoplifting it, I would otherwise be buying it.
I do not think it is okay to make music I own available online, publicly or not. This is because I would have no control over what the recipients do with the music; they could make copies and pass it along to hundreds of other people. It is true that a friend could upload a mix CD I made her to her computer and do the same thing, but that would be more her decision, because I would be just giving it to her for her own personal use, and she would have to take the proactive step of uploading it to her own computer, I wouldn't have done the hard (okay, not really "hard") work for her.
To sum up, I think downloading is okay when it is done with the intent to determine whether or not I like the music enough to buy the album. The main consideration for me is whether someone will lose out on revenue. By the same token, when I made mix CDs from music I downloaded from Morpheus, I never would have even known those songs existed had I not discovered them online, and therefore the artist loses out on no revenue by virtue of me downloading music.