I've been buying physical copies since I've been into music at all, though I certainly also pirated my fair share a few years back. The only time I used Spotify was when I was enrolled in a Rock History course for a couple weeks a while ago and we had to listen to playlists thrown together by the professor. I thought the service was cool, but I had no desire to use it outside of my class.
With me, the problem with getting any kind of music for free is that I feel zero obligation to give it attention. When I spend money on an album I'm thinking, "This was an investment. I want this album to have been worth my money, therefore I will give it the time and attention it deserves." Sure I do strike out every now and again, but I also find myself really loving albums that I may have otherwise not given a second listen like The Tenant by Ludicra, or Abra Kadavar by Kadavar or even Times of Grace by Neurosis. I feel a similar obligation when I recieve a promo- "This band gave me an album in exchange for a review, it deserves my full attention as a critic."
If I do illegally download anything these days, it's usually somewhat obscure albums that are completely out of print, like the first two Impaled albums. Sometimes if I buy a vinyl record and it turns out to be physically fucked (warped, scratched, really noisy etc) I'll download a digital copy.