Quote: "Because most people have to pay for bandwidth and it can be called 'Bandwidth Stealing'"
Good answer. Besides using other peoples hosting and bandwidth money to deliver your content, there are other reasons as well.
If I take the time to make a website and offer something for download, I want people to come to my site to download it. I may be selling something, or have advertisements on my site that I want people to see. That's why I put that great free content there, so people could come and get it, but they can also see what else I have to offer, or the other advertisers on my site have to offer.
When you hot-link a file from another site, you steal potential visitors and customers from that site. All that hard work and whatever other advertisers may be paying that site has gone to waste.
You should always link to another sites main entrance page. That's just proper web etiquette.
Best.
