I buy plenty of games on Steam (usually during sales) & the Humble Bundles. They are a cheap, legitimate way for me to play a large array of games, and I'm more than happy to support the developers.
For books, I have a Kindle and tend to pirate ebook copies of books I own already in physical form. I'll also pirate audiobooks & ebooks on occasion if I can. Not a a big fan of audible & amazon DRM.
For music, I have a Spotify Premium account and listen to the vast majority of my music from there. I have a big back-catalog of pirated music from before I got my Spotify account. I have a handful of CDs that I bought as a child, but mostly just pirated since the dawn of broadband internet.
For TV Shows, I have a Netflix Account & Amazon Prime account. I also pay for Verizon FiOS cable, and get HBO/Showtime. I use HBO Go and whatever the Showtime app is called to watch those shows. I sometimes pirate episodes of shows I watch if I happen to miss watching them, can't see them on Hulu, or didn't record for whatever reason.
For movies, I buy Blu-Rays only on occasions where I want the HD experience. Think concert Blu-Rays and things like Planet Earth or 2001: A Space Odyssey. Like I said, Netflix/Amazon Prime/HBO/Showtime get me through a lot of movies. If I can't find them there, I'll pirate them.
The reason I subscribe to these things and still pirate is basically a lack of $$. The services I pay for are a relatively cheap way to see a lot of content, and I would probably not go out and buy more DVDs/CDs/games if I couldn't subscribe to these or get great deals on Steam.
I do, however, intend to purchase far more content when my bills aren't so overwhelming. I also cannot forsee myself encouraging my kids someday to pirate material. I feel like I'd be instilling a value into them that I'm not particularly proud of, and without a doubt if they can say "but dad does it!" it'll be hard to explain to them why they should not.