For music piracy the only cost is the potential lost sale of the music to the "pirate".
Edit: to follow up, I'm a music pirate and proud of it. In my experience there are three types of people who pirate music. There are casual pirates who occasionally download the most popular songs of the day. There are hardcore pirates and digital packrats who refuse to pay for anything they don't absolutely have to and download music they might not even like, just to have it. And there are music lovers who have an insatiable hunger for lots and lots of music and enjoy discovering new music. From a financial perspective for the artists piracy is not generally a serious problem. Casual pop-music pirates generally download only songs that are already mega-hits, and the artists have been compensated thoroughly from. Hardcore anti-business pirates aren't necessarily a significant impact on artists because they wouldn't have paid for the albums they've pirated regardless.
The really interesting aspect comes from the 3rd category of pirates. Music lovers may "pirate" music but they also buy music too, and being exposed to more music means only that they end up buying more music (and going to more concerts), which is nothing but good news for those artists. Some of my favorite music I've discovered only by first pirating it, and in many cases this has lead to supporting artists financially (through album sales, merch, and concerts) that I never would have known about and never would have given a dime to previously. I can't see that as anything other than a good thing.
The current hypothetical non-piracy model for music is broken, and it always has been. There is too little variety on the radio and 30 second or 1 minute clips of songs don't cut it. Sometimes you just need to borrow an album and listen to it a few times before falling in love with it. This is the way it has always been. There's always been borrowing and copying in music, but the internet has made it infinitely more effective and so cast the issues into much sharper relief.
There is an even more important point at play here. And that is that a train line can prevent you from sneaking onto a train without a ticket fairly easily, but it is nigh impossible to put the music piracy genie back into the bottle. Music piracy is going to happen. The technology makes it too easy now, and there is a cultural desire for it. There is no choice to stop it, the only choice is to figure out how to live with it.
P.S. Some people might enjoy listening to this: http://www.youtube.com/watch?v=mdRAQWp73S4
P.P.S. http://www.gemm.com/item/GEINOH--YAMASHIROGUMI/ECOPHONY--RIN...
(perhaps this is an experiment?)