The biggest problem of pirating games is that you can't play online (unless it's an extremely popular franchise like CoD, I have seen people playing on unofficial servers). Other than that you won't get achievements if you care about those.
Is also worthy to note that sometimes pirated games have problems. If your game crash it might not be the game, but the crack of said game, graphical glitches could sometimes be attributed to the crack and not the game itself. Really depends on where you get the pirated game...I recommend Skidrow, those guys are masters in what they do.
I used to pirated practically every single game I wanted to play....now I only do it depending on the game and how much I'm willing to wait for a price cut.
Also check out for viruses, downloading games online can have lots of them. So again I recommend the official Skidrow site, all of those guys links are clean.