In the case of a game like Grand Theft Auto, the 100,000 to 1,000,000 sales that are (theoritically) lost because of piracy are really not that big of a deal because the game will sell well enough to be profitable on its own ... On the other hand, when you're dealing with a smaller niche title like Psychonauts the loss of 100,000 to 1,000,000 sales may make the difference between Majesco being a profitable company or not.
Music is a different beast all together in my opinion ...
The reason why the industry is struggling in a time when recording and marketing costs are at an all time low is because they're stuck in an obsolete business model where they need to sell a massive quantity of albums at a massive mark-up in order to cover the costs they choose to take. Rather than trying to develop artists organically through touring and localized marketing (as the industry used to do) the industry throws around money in an attempt to make an artist instantly super popular; on average they will promote 6 to 8 artists with (well) over $10,000,000 budgets each to get 1 successful artist. Since the artists are not particularly talented, and have a fickle fanbase (due to how they became popular) they tend to only have one or two albums which sells well enough to recover all of the costs associated with marketing the band.
Piracy or not, the music industries business model is dying because how people access music is becomming far less centeralized due to the internet. I suspect that in the future the 18 year old super famous rock-stars will disapear and be replaced by dozens of smaller (and older) bands who make a decent living through touring, merchandise, and music sales.
