I think it hurts the market overall less than people 1st think. For example, if people are pirating DS games they have more money to spend on Wii games. Everyone I know downloads music which means they can afford to spend more on games because their money isn't disappearing on CDs.
People also pirate a hell of a lot more music/games/films than they could afford to buy so if they've downloaded 20 films, if piracy was impossible they may only have afforded 2. The industry isn't losing the money for all 20 because they would never have been bought in the 1st place. Because the money from those 2 is still theirs they can then spend it on, for example, a couple of games.
People pirate stacks of DS and PSP games but the industry isn't losing much money because they would never have bought those games legally in the 1st place.
