While I have occasionally purchased software (Windows 98SE, Windows 2000, Windows XP, Office XP, E-TextEditor & countless PC games) I do sometimes download software. I generally try to use open-source &/or freeware applications when there are good alternatives available (e.g. Open Office or GIMP) before I do that though.
I'm conflicted on the subject. On one hand, I wish that I had the money to purchase everything legally but I don't. I drive a beat up car that's worth about $800, have been using the same desktop since 2001 & generally break even each month. This doesn't mean that I feel some sense of entitlement. While this may be considered "stealing" to many people (there's a good debate on both sides, in my opinion), I'm rather apathetic about this.
I suppose my justification is that I'm not going to buy the software anyways, due to a lack of money, I'm not really costing these companies a cent. I can understand why people get upset if you're the one that's actually cracking the software, if you have enough money to buy it & still don't or if you're sharing it with other people, but that's about it.
To me, that's the key issue at hand. Whether or not you're sharing. How exactly is someone that doesn't share the software & is too poor to buy it really costing a company any money? This is what makes it different from stealing something from Wal-Mart, which someone mentioned previously. In that case the company may actually be losing money.