In an ideal world, all media would be free (as in freedom), but unfortunately that's not the world we currently live in. The biggest problem is that access to proprietary media is often crippled by DRM (Digital Restrictions Management), which sometimes can be bypassed with specific software tools. Sometimes there's no free software tool yet for removing DRM from some kind of media files, and running shady proprietary software tools is the only option. Moreover, purchasing proprietary media inevitably encourages authors to continue earning money by producing and selling even more proprietary media (as opposed to free media).
The next list summarizes the various possible criteria individuals can use, in my opinion, when purchasing or using different kinds of media. In order of increasing strictness:
Personally, I tolerate purchasing proprietary media as long as I'm able to remove any DRM with free software tools only. For example, after buying e-books crippled by Adobe DRM, I immediately download and decrypt them with libgourou, which is a simple command-line program that runs natively on Linux. No need for Adobe Digital Editions, Microsoft Windows, Wine or Calibre.