I would say music. It is the easiest to pirate and it has the most widespread piracy.

As for whether music piracy really hurts the artists, honestly I don't know enough about the music industry to really say. But from what I understand, when you sign a record label, you have to sign for X amount of albums that you owe to the company. If your music sell like shit, I would assume that the record label reserves the right to terminate your record contract prematurely. After all, the record label is the one that is funding your music production.

Everyone always says "bands make their money from concerts and merch, not music sales!" True. Bands get a pittance for each album/track they sell. But music sales do matter. Because if your music can't sell for shit after the record label invested so much money into album production, your music video production, airplay payola, marketing, etc. what incentive would the record label have to keep you on board? Yeah it's true that the vast majority of music albums are unprofitable and it's not necessarily true that you'll get dropped by your label if your first album is unprofitable. But that's true with video games as well. ie. Dead Space 2.

In a way, the music industry is a lot like the game industry. They are both hits-driven industries. Game publishers churn out a whole bunch of big-budget video games every year. Most of them will lose money while a minority of them will make money and (hopefully) make up for the losses incurred by the unprofitable games. The music industry is the same way. No matter how much record labels invest in production, music videos, airplay payola, marketing, etc. the vast majority of albums will be unprofitable while a minority will be profitable and (hopefully) make up for the losses incurred by the unprofitable music albums. Both the game industry and the music industry are very risky.

That all said, it must be said that the games industry is even more risky than the music industry. Producing a Lady GaGa album is loads cheaper than producing a big budget HD video game. And unlike music, where there is always the look out for the new "next big thing" (making it very worthwhile for Lady GaGa's record label to take a chance on her back when she was still new), gamers tend to be sequel whores. Gamers may not want to admit this to themselves but most gamers are sequel whores. They mostly just want to buy the same old damn games over and over again. It's hard for new IPs to break out. That's why Activision is making all kinds of money milking franchises like CoD, Guitar Hero, etc. while EA lost money on Mirror's Edge, Dead Space, Dante's Inferno, etc. If gamers are really serious about their desire for new IPs, they would buy new IPs. But that doesn't seem to be the case. Most gamers want established sequels, not so much the new IPs. Some new IPs go on to be successful but most are financial failures.