I purchase my games because I want to support the industry. And of course I only play great games, so I absolutely want to help the awesome developers of those games.
In the long run downloading is like a double edged sword, because if everyone starts saying: "well only "I" do it and because its just little old me its not going to affect the publishers and developers profit margines", if everyone started thinking like that it could really damage of the videogame industry.
This is exactly what happened in Hong Kong with the music industry there. After 1999 because of rampant bootlegging, there is pretty much no Hong Kong based music industry anymore.