To give you a practical example: I steal just about every TV series I watch, because being back in Europe, I can't use Hulu, can't grab them off iTunes, and generally TV stations delay broadcasting for about 1 season (probably to keep prices down). Grabbing them off of torrents is as simple as waiting for the episodes to show up on my "downloads-tv" folder, thanks to RSS and a torrent client. This usually happens about 20 minutes after the original broadcast in the east coast - I just have go about my life and wait for them to be ready to watch.
Back to the topic: these legal hurdles that force you to buy things locally will eventually go away (they're already gone for a few things). That's the one true problem here. Some people will always pirate, and some people will pirate because it's convenient. It's certainly easier than using proxies, faking an address somewhere and generally lying about you because you want to give someone money. This whole deal boggles the mind.
TL;DR: Some people pirate things because it's more convenient. Companies should make it more convenient to actually purchase music/tv/movies/games online.