If you feel that way and don't want to support the industry, the real ethical thing to do is to not watch or listen to their products. Only support artists who are releasing their material under terms that you agree with.
I get the feeling when people promote boycotts as the so-called ethical choice they're basically saying "shhhh, I like the system as it is, why don't you just go do your own thing instead". Even though intellectual property might be viewed as a relatively unimportant issue, I think it only helps protect the status quo to push an ineffectual form of protest.
"When people are framed as consumers, society becomes little more than a marketplace. Social problems get treated with individualized, market-oriented solutions — where each consumer-citizen is solely responsible for spotting deceptive practices and avoiding unfair schemes — instead of collective, rights-based protections.
When the private sector enters into the social contract, ... [we get] shallow public-private partnerships in which the corporate actors are really in charge. While the public is hung out to dry with effectively no defense or recourse since our political rights have evaporated into market choices."
"Kids and teens are bombarded with messages from a myriad of sources that using new technology is high-risk behavior. Downloading music is compared to stealing a bicycle — even though many downloads are lawful. Making videos using short clips from other sources is treated as probably illegal — even though many such videos are also lawful."
The problem isn't that you can't buy this or that new album without supporting the industry, the problem is that an entire medium is getting sucked up by these huge corporations, who push for copyright limits which make it impossible for that work to ever enter the public domain. "Vote with your wallet" is not a reasonable answer to this kind of situation.