my 2 cents
There are a lot of valid opinions here so here's my take.
If i have downloaded a TV show
1. It's not shown in my country, it may be shown a year from now but it might not. I could wait for it but lets face it if it's available to me now and i want to see it then i will, if you want my money for seeing the show then make it available to me at the same time as people in other countries are telling me how cool it is or stop crying.
2. It will never be shown in my country unless i help spread the word. These are generally foreign shows like Japanese anime. If "fansubbers" had not illegally made Nartuo releases for thousands like me then the American networks would never have realised it's popularity and licensed it for themselves. So we helped make the creators money. Should i feel bad about downloading that?
If i have downloaded a film
Well i don't as a general rule. 95% of movies now are remakes or just utter rubbish that i wouldn't waste bandwidth on let alone hard currency. I do see the odd gem at the cinema but so far this year that has only been the movie 300 and i doubt anything after Transformers (hey, i grew up with these guys) will tempt me. Again i do download the odd foreign film that won't come out over here but as a general rule i have sat through far too much pap over the years to be taken in by "this weeks hit movie" reviews and marketing pitches.
If i have downloaded music
It's a new single/album and i want to hear a bit of it before i spend money on it. Given that music has been price fixed for something like 10 years i don't feel too bad about this. In a similar way to films 95% of what i can find in my local music store is manufactured rubbish that is horribly overpriced, a movie on dvd costs far more to produce than an album and yet they are pretty much the same price (in the UK) which proves price fixing to me. I will generally download, listen and if i like i head to the shop (don't pay and they won't make more) and if i don't then it gets deleted. If the price of music reflected it's value then i would be much more willing to impulse buy music like i did years ago when i could get a single for £3 (~£8 now is not price fixing for a single???). If i could buy the music i like directly from the artists and knew that ALL the profit went to them rather than the record labels i would be more tempted too.
If i have downloaded software
Generally again it's to trial without limitations. I do pay for software i like and use though, again if you don't pay them they won't make more or improve it.
If i have downloaded a game
Again, i have played FPS games, racing games and MMOs and the genres have been done to death so i don't really download games. The "console generation" seems to have killed anything outside these 3 genres presumably because games where you have to figure stuff out is no fun for them and therefore games companies pander to where the biggest profit is. I mostly download old adventure games that require a little grey matter and can't be bought anymore, though i bough every Myst game that came out (i actually have 3 copies of Myst 1 as i kept losing them and finding them again) and most of the other games i like. I could download any PSP game i want but i don't, i buy them and copy them to my memstick so i don't need to carry 30 discs around with me (which sony doesn't like, yet i bought the damn game!).
Big vs small
This one is aimed directly at Sean O'Connor and similar folk. If i like something (even a little bit) by a small author like yourself then it gets bought. Small independent authors are the few that are still willing to do things for the love of doing it rather than "fps games are big profit earners, lets make another" type companies. I will be honest and admit i have no problems cheating Microsoft out of a few pennies but smaller companies or individuals definitely fall into my "don't pay and they won't make more" category as they can't afford to soak up the losses. I may be contradictory but i believe in putting the money into the hands of people who make things i like, not into the hands of a company that has sold me 4 FPS games in the last 3 months and now wants to sell me another which is hardly any different to the last 4 just so they can keep their share price up. I will willingly part with my cash for lovingly created "art", but not to drive a business model based around flogging the same product to me again and again with a different badge.