Pirating music has cost me a lot more money in the long term than before I ever downloaded music illegally.  I started off using Audiogalaxy back in the day and it got me in to so many bands, this is when I was 16 or something at the time.  Now through listening to these bands and finding new music I have spent a fortune on concerts, merch and also CD’s/Records.  At that time I had a handful of CD’s and now I have just under 1000 CD’s and around 500 records.  
Through downloading music I have bought and paid for so many concerts and go to about 20 – 30 gigs a year still and most of these bands I have heard through downloading music.  At the gigs I will spend money on a t-shirt and possibly a CD.  I now also have Spotify which I pay £10 a month or whatever it is for but it does not have everything and downloading and sharing music does mean a lot to smaller bands who are starting up.  I know many bands who have been able to come over from the US to tour based on the fan’s they have got from their music being shared online. 
With movies it’s simple, people are not willing to shell out the price of tickets to go see a movie these days.  I used to go to the cinema a lot but at £9 - £10 a ticket these days it’s just not worth it and that’s why I have Netflix and also Love Film but again they don’t have everything.  I have also been to see movies in the cinema because people have said to me “I watched it online but it’s really a movie you should see in the cinema”
I don’t think people take in to account the amount of good publicity that pirating gives your music/movie/TV Show.