I used to pirate music in the early 2000's but I don't anymore. Even when I did, it was just mostly to "sample" the music. If I really liked it, I would eventually buy the CD....some of that is probably because the quality of mp3's were poor, back then. Even so, I prefered/still do prefer having physical copies of my media. Which means buying. Nowadays, there are plenty of ways to stream high quality samples (or complete versions) of songs, legally and for free.
Now, TV shows, I sometimes download. ...but I definitely don't consider that stealing. For example, if I download an HBO show to watch because I missed/couldn't watch the original airing, that is not stealing. I already pay for HBO. It's the same as if I DVR'd the episode. I just don't want to pay extra for stupid DVR service. But HBO doesn't loose out from this. They still get my money for the episode/cable subscription.