The question is about ethics, not legality. The legality answer is easy and objective (for most countries, the answer is "never").
1) Never. Self-explanatory, I think.
2) When there is no way to get it, even with money. For example, your favorite TV show is geo-blocked and is not available on iTunes. Netflix and Hulu are likewise geo-blocked. You couldn't pay for a copy even if you wanted to.
3) When there is no way to get it, except with a lot of money. The publisher of a book you want refuses to release an e-book version. You could get a paper copy, but within shipping it'll cost like $40. For one book.
4) When you've already paid for one version of it, but you want another version as well. You bought that TV show you want on iTunes, but you want a DVD so the kids can watch without tying up your computer.
5) When you could get a version of it, but it's not what you want. You don't actually want it on iTunes, since iTunes sucks on Windows and you'd rather watch it on your TV.
6) When you could get what you want, but the owner of the property is a money-grubbing corporate tool. Why pay for it when you can stick it to the man?
7) Whenever the heck you want. It's a free country. Also self-explanatory.
Feel free to elaborate your answer in the comments. It's a sticky issue, after all.
I'll be honest: I answered (2). We try very hard to lean toward NEVER (seeing as we are not, in fact, poor mountain villagers that eat only rice and chilis), but we also have a So You Think You Can Dance addiction that Fox won't let us feed :-(