I don't really play a lot of games, but I do download the big titles.
Those titles will sell shitloads anyway and I don't think rockstar gives a fuck if I download GTA:SA..
But if some small developer releases an amazing game, support them by buying the game.
Really, it encourages the publisher to publish more from them, and it encourages the developer to make more good games.
As for music, I purchase everything I know is good, like autechre.
As for movies, I leech those like hell and I never buy movies.