An interesting philosophical perspective one of my friends uses to justify his piracy is this:
Consider the economy as a whole. Say that there are good and bad parts of the economy. Good parts are things that help society -- creating infrastructure, feeding, clothing, and making people happy. Bad parts are things that harm society -- drugs that lead to addiction, violence that hurts people, theft that takes things away from people so they can no longer use them.
Spending money on bad things creates profits for the bad part of the economy, and we don't want that. Spending money on good things creates profits for the good part of the economy, and we do want that.
In this philosophical model, it doesn't matter where you spend your money, as long as it is part of the good part of the economy. You have and you can spend them however you want, as long as you don't give them to the bad part of the economy. Buying drugs or stolen goods encourages more drug use and more theft of people's possessions. However (again, in the perspective of this model), downloading pirated movies, games, or music for free does not give any money to bad people, and ultimately you'll still spend the same amount of money somewhere in the good part of the economy.
Sure, you're harming the company that is creating these products, but that is balanced out in that you are helping other companies instead. You pirate a new CD, and use the money that could have paid for the CD to instead pay for a shrimp dinner. Sony loses $15, and Red Lobster gets it instead.
Ultimately, in this philosophy, you're smart to spend money on things you like instead of getting them for free (because without funding, they'll stop making those nice things), but as long as you're not giving money to people who hurt others, you're not doing anything wrong.