I don't buy the CD for the following reasons:
Listening to the CD beforehand will cement in my mind how the song should sound. Many times, the cast I see with the show is not the original cast, and will sound different. I don't want to be dissapointed that it's not the same. When I buy the CD afterwards, I am already prepared to listen to another voice interpret the music.
I like going into the show and watching the songs,scenes,emotions,etc unfold for the first time. If I have heard or memorized the CD beforehand, I will tend to be waiting for the "big moment" to come around.
Many times though, I end up having to buy a CD of the show before a tour gets to SF. That's the only time I'll purchase in advance.
"My dreams, watching me said, one to the other...this life has let us down."