In the case of music, piracy affects the artist very little since they earn cents on the dollar for each song/album recorded. It negatively impacts the label the artist is under which still doesn't affect the artist much. It is much better to support the music industry though buying merchandise.
Music Industry and Copyright Law classes, also I have seen several bands promote pirating albums to their fans.
In many cases, it has helped the progress of society. If it weren't for mass-piracy of crucial software (e.g. Windows) in second-world countries, we'd have fewer people knowing how to access the internet today.
There is no guarantee that the pirated product would have been purchased if it had not been available for pirating, so the net loss for the distributor is the same, wether the product was pirated or not.
In some cases this is because the developer stopped supporting the original product. For instance, in some places emulators are considered piracy. In other cases piracy-prevention measures break the media.
Copyrights are bad for artists and everyone. Copyrights are often used for censorship. Its mostly corporations who have leveraged copyrights to the detriment of artists. The fashion industry is much, much larger than the music industry and there are almost no protections for fashion designers.
You are stealing the development time for the game. When you buy something you can pirate, you are paying for it to be made, not the copy you receive. Similarly to an amusement park: If you sneak onto a roller coaster without paying for it, the park hasn't lost anything but you still stole a ride.
Some people download items because they don't have the money, but for a lot of people piracy facilitates the act of not buying items that you normally would have, effectively robbing the content creator.