(Full disclosure, I download content, so my horse is not particularly high, and I'm not even on it right now.)
You hear about these fantastic shows coming out of the States, try to find where you can watch them...wait for months if you are lucky, otherwise pirating is your only option if you want to see them. A highly seeded, HD torrent is usually available hours after the show aired in the states. That's what HBO is really competing with. Until they address this latent international demand, piracy will continue. Most internet users are outside the US[1].
In a way they should be grateful they're producing great shows that boost the HBO brand (for free), at least then they can monetise the pirates down the line if they're smart. A bigger problem would be if people simply started watching shows from rival networks.
[1] http://www.google.com/publicdata/explore?ds=d5bncppjof8f9_...
Not to mention one can wait for the shows to be on Blu-Ray.
No blu-ray releases where I live, I don't know anyone who owns blu-ray and don't have one.
So there is no reason to not torrent them.
I honestly think that "unavailability" is the cause of 90% of pirating. Not because people don't want to buy stuff, they simply can't.