Personally, I feel entertainment costs too much, so I don't feel guilty about pirating games or movies. Especially DS and GBA games. I'll buy MOST of my PC or console games, but hand held games? $20-40 for a watered-down, most likely sub-par knock-off of something that would be much greater on a console system? No thanks, I'm not paying for that.
And WiiWare games, same thing. I'm not paying $10 or whatever the Wii Point equivalent is just so I can play a game I've already owned/played on a new system. That's a steep convenience charge, if you ask me. I'll just hack the system myself and download some roms and an emulator. So no thanks, I'm not paying for that.
Same thing with movies. If I want to REALLY enjoy a movie, I'll actually pay to see it in theaters, on a big screen, with great sound, and possibly in 3D. But I'll be damned if I'll pay more than $5 for a DVD, if anything at all. You charge me $8-15 to see something in theaters (which you make literally millions off of), and then once it comes out you charge me upwards of $20 so I can watch it on my crappy tv with my horrible sound system? No thanks, I'm not paying for that.
Now, software I actually DO feel guilty about stealing (when I do pirate it, which is NOT always). Because the software I'm using becomes my livelihood, my source of income, I really ought to just buy it, you know? Which I actually plan to do. Once using a piece of software earns me enough money, I'll actually buy the software. No harm, no foul, in my opinion. You'll get your money, just pretend it was a trial period.
That's me, anyway.