Back in the day, I stole music on the internet all the time. Napster, Audiogalaxy, etc.
I'm certainly not proud of it. Now I use iTunes. It rocks. And the artists get paid.
My main issue that drove me to steal it was that the type of music that I like (instrumental electronica) is very difficult to obtain, especially in my area. But on these services, I found all sorts of things that I could not have gotten otherwise. I have since legally obtained copies of the songs I stole, or bought the albums, or destroyed my copies of the music.
Whenever I hear someone defending the practice of illegally downloading music, they usually say, "It's not stealing because I wouldn't pay for the music if I couldn't get it for free."
This logic does not hold up. They're still getting something for nothing. You couldn't justify stealing a shirt from Mervyn's because you wouldn't have paid for it anyway. You're still taking something that does not belong to you.