simple: make great games and package them with sweet extras that you cant get from downloading them, like posters, art books, figurines, etc.
honestly though, theres probably little to nothing game companies can actually do to prevent piracy. every new and improved DRM is just another challenge to overcome for the pirates. they eat that shit up (even going so far as to thank Ubisoft in the opening credits for the challenge).
the best way is to create games good enough to SELL on their own merits. i myself download games (if they're PC only and i can't rent them) to try them out. some games i KNOW will be good (skyrim) so i just purchase them outright, others (civ 5) i have no idea, so i donwloaded it, loved it, and then bought it, and then there's far more (the witcher, kings bounty, etc) that i download, absolutely can't stand, and then delete.
the main problem there's very little consumer protection when it comes to games. buy a game for $60, turns out to be shit, sorry you can't return it, sell it back to gamestop for $30, or if it's a PC title just throw it away cause you can't sell OR return it. if this fundamental flaw were fixed, i probably wouldn't download games ever again. it's just that crushing fear that my hard-earned $50-60 will be totally wasted if i dont pick the right game the first time, and every time.
sorry for the wall of text