Major "artists" negotiate for a cut of the sales of their music and if they're smart, they don't give up the publishing rights. If they're not smart or are desperate to 'make it in the music industry', the record company owns the songs, tapes, pays an advance that is supposed to be used for recording and maybe some instruments that get the sounds the band wants.
If the "artist" doesn't give that up, they don't get to produce an album.
It's hard to be smart when there's tons of money being shaken in your face and you have no experience. The fact that you don't get to have that money is something the artist only finds out later.
People look at piracy as "screwing the record company" but the first in line for the screwing is whoever wrote the music.
With artists making the bulk of their income from concerts, that's hard to support.
I adamently oppose for-profit piracy.
Let's say I "fail to support" private-party piracy (at least on the scale the internet allows).
I am a bit iffy on "but the copyright holder refuses to release it. I would give them my money if they would take it" being immoral.
I've got a shelf full of legit software, a rack full of legit (if used) DVDs, and a box full of legit CDs from before I started DLing from Amazon... but I'm not about to paint all piracy with the same brush.
One last thing: I adamantly oppose corporate piracy: such as the music industries illegal use of songs without compensation to artists (see the recent suit against the Canadian RIAA for an example)