The whole "piracy isn't theft because the original owner still has their copy!" is a convenient argument over semantics which dilutes - and is intended to dilute - the argument.
Assuming for a moment that it wasn't possible to acquire movies, music, games, etc through filesharing channels your choice as a consumer would be either to pay the going rate that the content authors decide they want to charge, or do without.
Half the problem imo is that people have grown so accustomed to pirating stuff now, it's so easy and painless, that it's easy to assume that copying something doesn't hurt anyone. The thing is, which I hope most rational people can acknowledge, in a world where piracy wasn't so easy I don't imagine most of us would be satisfied not listening to, watching or playing these great pieces of media, we'd find a way to afford it if we wanted it that badly.
The flip side of course is that being able to sample certain types of media can be a positive thing - hearing samples of a bands album might lead you to go and buy it, likewise watching the first 5 minutes of a film (a few films have done this in recent times). Sites like Amazon already let you audition album tracks before you buy, so there's really no excuse for pirating entire albums using the fallacious logic that "you'll buy it if you end up liking it".
I'm personally not whiter than white so there's a bit of hypocrisy here - but unlike a lot of people it seems I'm not deluding myself that downloading stuff illegally is morally justified in any way. If something is "too expensive" in the regular world you do without. If something isn't easily accessible in pirate channels (as is sometimes the case), you either end up having to cough up for it, settle for something that's not quite as good, or you do without.