Why? Because I support the musicians, not the corporates who suck that money up. At most, I want to at least support the mastering guys.
I thought this too (that the big companies get all the cash), but they have to employ a lot of people to get the job done. The artists are part of a large group of employees that do everything from marketing to cleaning. Yes, they sometimes get the short end of the stick, but they can't get all of the profits, either.
I always buy my music and games.
Movies and TV shows are a difficult one - I occasionally download them purely because I'm never going to watch them again (probably something every few months, at most). $20 for two hours of entertainment that I may not enjoy is a big gamble. Plus I'd much rather a format that I can do whatever I want with without re-encoding, etc. I'm not justifying it, but do tend to watch them at the movies when new, which is what really makes or breaks a film. If there was a reasonably-priced way of getting them conveniently, I probably would, as I don't actually support piracy.