From the other side of the world, it is appalling how copyright law likes to screw everything over the entire globe.
Here in Australia, there is only one main source of multimedia online - iTunes. And it has a limited selection compared to the US version, and massive markups. What costs you guys 99c-$1.69 costs us $1.69-$2.19 (AUD and USD are practically at parity)
Amazon doesn't work outside the US.
Google Music doesn't work outside the US.
Zune only started in Australia recently - but there are DRM restrictions.
Also, with TV episodes, there is a large delay between US availability and AU availability. At least months difference, and it is still overpriced and DRM locked on iTunes. We can't access iTunes US without a credit card. We aren't allowed to pay for it basically. So what is the easier option? Just download it.
Another common example among friends of mine:
We all love k-pop. But we can't get Korean music in Australian music stores. We can't buy it online from iTunes. We can't set up an account for iTunes Korea. We can't order the CDs online either. So what is the obvious solution? Download it.
As long as the Music/TV/Movie industry make it extremely difficult to pay, there will be a large amount of people who pirate around the world because they aren't given the option to pay for it easily. However if paying for music was easier than downloading, there would be more people paying for music.