I only pirate games that fall into one of these categories...
1. I am not interested enough to actually buy the game. The developers are losing no money, because I wouldn't have bought it in the first place.
2. The game is only available in another region. Again, I can't afford to buy a foreign console just for a few games; I would never spend my money on that. Thus, the developers have still lost no sales to me.
3. The game is old and hard/impossible to find. These games are out of production and are only sold by third parties, so if anybody was hurt, it would be used game stores. However, I would never justify spending $50 on a Gamecube game. Once again, no sale is lost because I wouldn't have bought it.
4. Games that I only intend on playing once or twice. Say I have a friend coming over who really likes a certain game, but I do not own said game. There is no way in the world I will purchase the game just so we can play it once or twice- rather, I would simply tell them, "sorry, I don't have it." By pirating this game, there is no damage to the company because I would never have bought the game anyway.
5. I am interested in a game, but I'm not sure if I would like it, and no demo is available. I am an informed buyer, so if I am uncertain about whether I would like a game or not, I usually do not buy it. (This one can be a little murky though, as I might buy a game if it is < $10 and/or on sale.) In this situation, I play the game much like a demo. If I don't like it enough to justify the price, its fate is the same as all the other games, or I might even delete it. If I do like it, I buy the game. In this case, piracy generates a sale because I was on the fence, and it was pirating that convinced me it was worth buying.
Notice a trend? Believe it or not, most people who pirate games still believe there is a line between ethical and unethical piracy. They pirate games primarily to play games they otherwise would not, rather than to dodge the purchase price of something they can afford. In some cases, it may even result in boosting sales for a game. While I make no claim that the majority of piracy cases turn into sales, I do believe that the effect it has on sales is relatively minimal, because most of the time pirates would not buy the game if it was impossible to pirate. They would simply do without.