I take the same approach as I do to music. If the band is reasonably obscure, and really doing something different, and most members are still alive (The Decemberists come to mind), I'll go out and buy their album. I'll be proud. I have paid for Colin Meloy's breakfast. I'll treasure it. I'll read the sleeve notes. I'll lend it to new girlfriends. If the band is huge, dead, or is idiotic enough to make their albums have special content in another country, I shall steal that album.
If it's immoral to not throw the pittance I earn into the bejeweled hands of millionaires, I am content to be immoral. As far as I'm concerned, game developers and companies make obscene amounts of money anyway, and games are horribly overpriced. Null's arguments seems to be 'Well, don't game then!' I can't afford food, so 'Don't eat!'. Be thankful I exercise any kind of scant morality at all, I could just pirate everything.
I bought Spore because it was a historic game, and I admire then workings behind it, and I am more than happy to have it within my game collection. The same went for Medieval Total War or Civilization or Pirates! They are admirable, interesting games where I get value for my money due to their insane re playability; games like Mirror's Edge which last ten minutes, or Halo, where no imagination has been put into it's creation, I'm more than happy to steal. As far as I'm concerned, these games are worth less due to having less 'Fun' within them, and I'd rather not feed the insatiable cash-lust of boring developers.