Yes. Well not games, I barely play anything anymore and online play is a must if I decide to play. Steam also made it (too) easy instead of bothering with cracks etc.
I have no issues with downloading movies, series or music.. I won't pay $17 to watch a movie at the cinema alone, and I won't rent a movie for $10 for 24 hours. If I could buy a cheap online copy, sure I'd do that, and some DVDs and box sets are just worth owning. Series are downloaded because I want to watch them when I want to (no PVR), and not when they air on TV, which is 5 years after they aired in the US. I buy music if I like it, meaning that I downloaded the album first and evaluate it for a while before I decide to buy it or not..
Stealing is wrong, but unless laws have changed here, it's allowed to download movies, series and music for private use