From worst to least bad:
Piracy. The developer gets the money from ONE sale, and hundreds of thousands of people get the game for free. People the pirate doesn't know.
Second Hand. A different company is profiting from the game that the developer has made, but they only have as many copies as people were willing to return.
Lending. This isn't really that bad, it's just letting a friend play your game. But they are playing and finishing it without giving any money to the developer.
Renting. This is at the bottom because rental services have to pay extra money for the game and a license, so that makes up for it.
EDIT: I would say, of those, only pirating is immoral. Buying used is slightly immoral, but if one person doesn't want the game any more, why shouldn't someone else get it? It's lending, but somebody makes a profit out of it. The other two are absolutely fine. I wouldn't lose any sleep over the last three, and I don't do the first any more.
(Former) Lead Moderator and (Eternal) VGC Detective 
