I mean, would piracy count as a "sin"?
Once you hit religious territory, I think that's a matter of what you're pirating. If it's something that blatantly has an FBI warning on it, and the (game/movie/album/whatever) has some sort of indication that it should not be pirated, then it's both illegal, and probably a sin. Also, does it make you feel guilty? If you are, or you're unsure, it's best to talk to somebody that you trust that could help you better (a priest or a close friend, rather than a forum of strangers). However, is it something that seems "okay" to pirate? An EP that an up and coming band has released for free, or a documentary that the producers allow you to stream online? There are some occasions where an artist getting noticed or getting a message out is more important than making them money. I have a friend in a religious rock group that supports his music getting pirated (let's call it "shared"), simply because it helps spread his (religious) message. In simpler words, it's not stealing if it's a gift from the artist. But then again, if you like something you got for free, it's not a bad idea to say, "Thank you."
Sure, there's the argument that by making a copy, you're not directly stealing anything. However, you're diminishing the value of every other copy of whatever you're pirating (by a very very very small amount). Think of it like counterfeiting money (a bad analogy). Sure, you're not robbing a bank, but every time you counterfeit a bill, you are saturating the economy and contributing to inflation. Of course, if you do it once, the effects are minimal, to the point of being ignorable. But if (you take these numbers I'm going to make up for the sake of argument) one in every five people counterfeited a hundred dollars a day every day, the effects would be enormous.
Let me finish by saying that I am no expert on this subject. This is just my opinion as I see it. As I said, consult somebody that you know and trust more. Also, I admit that I pirate myself. That's because using Bittorrent while wearing an eyepatch and talking like a pirate makes you awesome.