I usually do try a demo before resorting to downloading. However, many times a demo will consist of "look at our pretty cgi movies" and "here is what it looks like to play our game" without letting you actually playing the game yourself. Those I will download to get the "full effect" so to speak. Often, I end up deleting them as the game ended up being something I didn't want.
Another reason I will download a game is if I can't find it to buy. Now, I'm not talking about new releases, but rather old games that I remember playing and wanted to get. I had to do that with Seven Kingdoms. I had initially bought it years ago, but lost the disk in my many moves. I tried to find it to buy, as I wanted the game years later, and I remembered it fondly. I couldn't so I downloaded it. I did buy the second sequel based on the strength of the first one, and found it lacking. I still play the first one to this day.
Another game I downloaded was Warlords Battlecry III after a friend showed it too me. I also tried to find that one to buy to no avail, so I had to resort to downloading.
There are many games out there that I'm sure many people would like to buy, but cannot find due to very tiny computer sections in stores and those sections only containing the new hot games (which are relatively quickly replaced by others). Those older games are very hard, if not impossible to buy and so downloading is a persons only means to get them. Sure it's wrong, and I would love to be able to support the game by purchasing it, but when I am given no option to support the company what can I do?
Now I do buy the games I like and want to support. I have a small collection of games that I have bought (Diablo II, Starcraft, Titan Quest, Neverwinter Nights 1 and 2, Oblivion, Kotor 1 and 2, Seven Kingdoms 2, Guildwars, Dungeon Siege 1 and 2 and a couple of MMOs), and a far smaller one of games that I have "stolen" (Freelancer, Warlords Battlecry 2 and 3, Seven Kingdoms). I do see myself buying a couple of games in the future that I am eagerly awaiting (namely Spore and Hellgate: London), but if I hear about a game I wouldn't mind trying out to see if I'll like it, I'll give it a go and see if it's worth it.
Is it wrong, sure, I'll admit that I am in the wrong, but are the makers also not in the wrong for producing glitchy, buggy, laggy, or otherwise screwed up games without taking the time to finish them jsut to get a quick buck? I think so. The companies that I enjoy the games get my money, and the companies that screw up don't, and I delete their games as I found I never wanted them anyway. I don't keep games I don't buy, as I don't end up liking them, ergo the person is losing out on me being a sucker and spending $50 on a lemon, while they laugh at the gullible masses.
Here's a newsflash for the game companies out there: If you make games worth buying, people will support you, and be happy to do so. If you make drek, don't blame your poor sales on "pirating". That can only be blamed on your own incompetance.