I don't really care if it's illegal or not. As an artist myself, I feel people create entertainment to entertain and to share a creative part of themselves, not to make money. As soon as you make something for the sole purpose of making money, it ceases to become art. That is why I have no qualms with downloading music, movies, or games, because I know the artists, directors, and programmers wanted to share their creative spirit with the world; their ideas with whomever cares to appreciate them. If I can't afford it, I download it. If I can afford, I still download it, but regardless, I sing it's praises (hence, the "Rate the last ___" threads) and I feel that is a payment in and of itself.
That's just me though.