I do it a lot. I'm not going to lie, but the thing that I find different from myself and other pirates, is that I actually go out and buy the CD if I end up liking it. I believe in supporting great games (I'm a huge PC Gamer and actually own most of the games I have on my Harddrive), movies (you should see my blu-ray collection), programs (Only program I wouldn't pay for are the ones that cost over 300 dollars; That's my limit), and music (Honestly, if you like a band or artist, buy their damn albums; I love Metallica and I downloaded Death Magnetic and I ended up hating that album, but I eventually bought it, 'cause I love Metallica's music and had most, if not all, their albums, so I'm not going to exclude a single album just because it wasn't that good).
Not all pirates are as nice as me, of course. I don't hate on them for that, neither. Some of them might be going through tough times and just can't afford things, but none of that is my concern. I strongly believe in supporting manufacturers, creators, artists, etc. Because if everyone just starts downloading music, or games, and never buys them, then those awesome songs, or time consuming lovely games, will never be released again, 'cause that artist would be broke, or that game company would go down the drain. Then instead of having an outstanding and enjoyable game series, or a couple of "could never put down" albums, you get that one memory of a good game that could have blossomed into more.
I support piracy, I just think that if you truly like the product, buy it.