Illegal downloads are wrong. I'm dead against it. It takes money away from those who have legitimately earned it and means costs for those who actually do pay for films, music, games etc have to increase to cover the losses made. People moan about how expensive CDs, games and films are - well, it's largely the fault of the pirate for distributing stuff without permission or payment.
A music artist, for example, does not necessarily get a bajillion moneez for making a great CD - their record company, manager, bloke on the bus next to them take a hefty cut. Particularly if they don't own the rights to the song but the label does. Lots of legit sites like Amazon will let you sample tracks before you buy if you're not sure about an album so I really don't see why it's necessary to pirate.
Some bands release free stuff anyway or let you download things without penalty. Those who don't, respect that. Entertainment media is part of our economy after all and they need to make money in order to produce more of what people want. I know some actors make silly money and I know some gaming developers drive around in stupidly expensive cars and say things like "well, I'll bump up the price because they'll pay for it" - but not everyone in the industry is making a fortune.
Hell, nobody decent behaves this way with other things like restaurant food, clothing, supermarket produce, cars etc - if they did, they'd rightfully be punished for it. I don't understand really why within the entertainment industry it's seen as almost acceptable by many to steal.