There are some things which I buy and some things I download. It entirely depends on the circumstance and the media. I download current episodes of TV shows that I'm interested in and can't see because I don't have cable or am away during the scheduled airing. I buy games that I know I'm going to get a huge amount of play out of, have really been looking forward to, or that are made by a struggling developer. I download games that don't fall into any of those categories but that I'm still interested in playing through (something I often won't have enough time to do with a rental). And so on. Frankly, systems like DRM, rental contracts, fees, and the actual length of time it can take just to get legal media are all inconvenient and drive piracy. Piracy offers the ultimate convenience, control, and satisfaction to the consumer (at least if they know what they're doing), and legal media still hasn't caught up to that. Once it does, maybe things will start to change. But for the time being, I'd think anyone could see the appeal.
Oh no, I downloaded and played through Halo 2 PC. Now what? What are the effects of my download and playthrough? I had fun, I have never played it online, and I definitely wouldn't have bought it (and wouldn't even have been able to since it's intended for Vista only and I have XP, so I downloaded a user-converted copy - boom, it worked perfectly, with all the pointless restrictions of use removed). I don't feel any guilt over it, I had fun, I downloaded it and installed it quickly, easily, and for free on a system that shouldn't even have been able to run it.
I do think there's something to be said against people who download ALL media they see or hear or play, but I see nothing wrong with moderate piracy when you at least think it through.