A game not producing demos is not an excuse to steal it. I agree that you should be able to sample a game's content before making the decision to buy, but there are other avenues for that... they're called video stores and rental services like gamefly. If you are unsure of whether you want to buy a game, rent the damn thing for a portion of the cost.
The only thing I 'illegally' download is music, and I typically will download a few tracks from an album I'm interested in and if I like it I'll buy it, if not I delete the songs. This is also on the decline as places like myspace and purevolume allow me to sample new albums before they come out anyhow, which is a better way to go.
If you can afford to spend $300 - $400 on a gaming system, you can afford to spend $50-$60 on a game. If you can't, you'll just have to be more selective about the games you play, do trade-ins, or wait for a game to go down in price because it's used or on sale. I did this with Saints Row 2. It came out during a period where there were a lot of good games, so I passed on it. I recently traded in Fallout 3 and got Saints Row 2 straight up. In fact, the last time I paid full price for a video game was probably gears of war 1. There are trade-in systems and barter set-ups and you can always play one against the other to get better deals.