Given how cheap, easy, faster and higher quality legal downloads are, it's not worth the chance that like I (or my neighbor accidentally) gets sued by the RIAA. Since they're using IP addresses (incorrectly) to personally identify people, you don't want to wind up like that one single mother who didn't even know what an MP3 was getting sued to the tune of a few hundred grand because someone was using her non-password protected Wi-Fi connection to the Internet with a laptop stuck out the window.
If you consider yourself against stealing in general, then you're probably against illegally downloading music. Intellectual property is given that designation due to the time/effort/money used to produce the material in question. There is a reason the concept of copyrights actually appears in the US Constitution; the dudes who wrote that were pretty smart.
Then there is the matter of material that is out of print and has been, for intents and purposes, abandoned due to the perceived lack of commercial viability. While the majority of illegally pirated music is Top 40 garbage that DOES make the labels a lot of money, there are some MP3s floating around of music that is basically impossible to find. Not every town has a small, local record store specializing in out of print vinyl and cassettes. Websites on the Internet have helped with things like this, but they're not the ones the RIAA or the IFPI are talking about being the major pariah the way Napster and now The Pirate Bay are.
One might be able to mentally justify it by saying, "well, I'll buy tickets to this artists' concerts, which is where they make most of their money anyway." But from the perspective of the artists and their representatives, there's no way THEY can account for who's really doing that. No other business works that way. "Well, I'm going to walk out of your dealership with car stereos, but I promise to buy that really expensive car you're trying to sell, because that's where you're going to make most of your money anyway." That just seems silly. In fact, one could argue that the losses taken by the stolen music eventually offset any gain in supposed, future-promised concert tickets.