Depends on what it is, personally.
For instance - I download comic book scans from the internet newsgroups. 90% of what I download is stuff from the 30s, 40s and 50s. It's esoteric material that will probably never be reprinted in any purchasable form. I don't think I'm hurting anyone by downloading it as the creators are nearly all dead now, most of it is in a gray public domain area, and the rest of the rightsholders have shown no intent to ever reprint it. Someone loved the hobby enough to scan it in and share it (it takes about 3 hours to properly scan a 64 page book and do all the necessary color corections, page straightening, and cropping), so I almost feel as if I am helping keep the pop history alive by downloading and reading it. I also scan in some of my Golden Age collection and upload it from time to time.
Occasionally I'll download newer comics, but that's only because I think a $3 average for a 32 page pamphlet (22 pages of actual story and art) is highway robbery. I still buy hardcover and trade paperback collections of comics when material I'm interested in is available, because you really can't beat the feel of an actual book in your hands. I just want to read other things that I would otherwise never have the opportunity to read, and downloading is the only way to do it.
It's mostly the same deal with music. I love 30s-50s Jazz, Country, and Blues, and a lot of the more obscure stuff just isn't commercially available. People rip their old 78s into mp3 form, and run them through noise-filtering programs, and I respect the effort. If I hear an artist I like, I try to seek out the CDs (usually imports in the case of Jazz/Blues) for purchase.
As for games, I am not much of a pirate. I'm a tech distinguished mentally-challenged fellow, and I usually give up trying to figure out how to do it before I ever get very far. If I can't just slap it on a blank disc or SD card and play it I'm probably not going to bother. Besides, most of the stuff I'd want is so cheap that it isn't worth the effort of pirating. I just bought Red Faction for ps2 for $3. I just won Medal of Honor and MOH: Underground for ps1 for a combined total of $1 off Ebay. I'd spend more in time and effort copying them. But for a game that has almost no hope of ever being reissued, or the old hardware cost is prohibitive, I really don't see a problem with it. New stuff, just wait a few months and buy it on the cheap. Hardly anything stays full retail forever, and with the advent of internet auctions and the like, you can almost always find things for a good deal (or cheaper than retail if new).
