I have downloaded pirated books. Because I started reading on a Palm Pilot years ago, it was kinda the thing because ebooks weren't widely available commercially. Over time, I began to feel some guilt, so I would purchase a "real" book and keep it on the shelf, but would still download the pirated edition for mobility.
I have been uncomfortable with DRM. Back when my wife and I both had Sony Readers, I attempted to take the dive into the world of DRM books and made a couple purchases. The DRM was through Adobe. Over the next year or so, I changed out devices enough that I ran out of devices that I could subscribe to my Adobe account and ended up in a long, drawn out email conversation with them trying to get my account reset so I could add more devices. This took about two weeks just to get them to reset my account clearing off my old devices. Since then, I have not gone back to DRM books.
I have often thought that a better idea would be to go to a book signing of someone like Jim Butcher with $150 or so, and hand it to him and say "Here... this is for all the books I've read that you've written, but I haven't purchased" I figure it might put more money in their pocket than if I bought them off the shelf. Of course, I might just get punched too...