The principle behind stealing CDs and DVDs remains the same, but downloading music or videos is different in certain respects. The seller suffers an immediate loss when they shoplift, as the costs of restocking or replacing items are incurred.
The download of files from the internet does not always result in direct losses to those who created them, as most services don’t require payment before content is acquired. That said, it can still be ethically questionable if substantial amounts are taken over time since this could potentially limit revenue generated through sales which could then adversely impact creators’ ability to continue producing quality material in the future if they cannot make ends meet. Copyright laws can also be a factor in ethical decisions depending on the jurisdiction where you live. Some countries have stricter regulations when it comes protecting your original work from being used by unauthorized third parties.