As perhaps the most well-publicized thief here, allow me to weight in:
I've never downloaded a movie (other than The Room, which I have since bought) or a video game.
I don't necessarily condone downloading music, but the system I've established makes me feel better: download, listen, delete if I don't like, buy if I do. Now it's obviously not a perfect system and I don't download without a slight tinge of guilt. Obviously, running into a record store and yoinking an LP isn't really an option. But since this technology is available to me, I utilize it to both educate myself and make informed decisions on what to spend my money on.