First of all, the truth: I am cheap and confess that I download anime to watch most of the time.
Now it comes to personal thoughts. I simply cannot justify myself to pay US$700 to buy the Macross Frontier DVD/ Bluray. This is a sum I would not pay anyhow; regardless whether I can download it or not. Therefore, in a sense, I hurt nobody in doing so.
On the other hand, because I did watch MF, I pay a lot more on the merchandizes than if I haven't watched it. Therefore, in reality because of my pirating, they earn the money from me.
And more thoughts: I always think most artists (movies and pop musics) are way overpaid. I am pretty sure if their jobs are paid just like a... programmer, there would still be talented people with the enthusiasm to fill the ranks.
I have bought few CDs and DVDs compared to most people. I mostly listen to the radio and watch TV. I do pay for console games though (programming is hard).