I don't feel guilty at all. I'm looking out for my bottom line, and the industry is looking out for theirs. I'll pirate all day until I hit a wall, and then, if the product is desirable enough, I'll cave in and purchase it (example is 2 years ago, my roommate had a modded xbox and we didn't need to pay for games. Now, we have a huge collection of paid-for games because his box got banned).
As far as music goes, I have no moral qualms about pirating albums or even discographies, because in the end, I will contribute so much more to the artist themselves by attending the concert and buying a bunch of overpriced swag. I don't have the numbers, but from what I've seen, the artist gets pennies from record sales compared to how much they rake in on tour. I'd rather support the artist any day than the bloodsucking labels that they work for.