The worst thing about priacy is the effect it has on future production. Sooner or later developers are going to ask why they should spend so long developing a game for someone to rip them off. Software pirates are getting all the benefits without doing any of the work.
If a game is worth playing then it's worth shelling out your hard-earned cash to both thank those making it for their hard work and to encourage them to make more. A gaming company without income is a gaming company that won't produce anything else. You might make a quick saving downloading pirate software now but you'll end up paying in the long run when there's nobody left to pruduce the games you love.