There are four reasons why I pirate games:
1) Support and Return policy: Once I have opened a game for the PC, that is it. I can't return the damn thing. So I had better be sure that it is worth my money before I put cash down. Also, game publishers refuse to actually support their games. I have Test Drive: Unlimited sitting on my shelf. It has only been played a very very few times, because thats how often it actuall worked! There is no support, and patches are few and far between and seem far more intrested in updating DRM than fixing game issues.
2) DRM. This is the BIG reason. Every game I have bought has been FAR more of a headache to install and play than games I have downloaded. In fact, I tend to keep using the pirated versions even AFTER I have bought the game. I just install with the valid CD key. Again, far less headaches than using the included DRM infested media (Bioshock required me to reformat the computer to get rid of it's DRM, even after I uninstalled the game).
3) Quality: Lets face it. Most of the games out there are crap. I ussually only play about an hour or two of a game before it gets deleted off my machine. As I am unable to take the game back to the store for a refund, I had better make sure the game is actually worth my hard earned cash.
4) Cost: Games are quite expensive for what you are getting. No other application would give you such poor support, poor quality, and buggy software and still charge a premium price. The least one should expect from such a premium is technical support.
Those are my reasons.