Personally, and I realize a lot of people won't agree with me, but if you don't have the means (money) to purchase a game and thus would have never gotten it to play, then I don't see that as a lost sale for the publisher/developer because you were never going to purchase it in the first place.
If you have the means to buy a game, but you still choose to pirate it simply because you're cheap or whatever reason, then that I have a problem with.