It's actually more nuanced than simply "always fine" or "always theft."
Let's start with games, as out of music and games, I think they're the simpler of the two to discuss. I agree that you shouldn't illegally acquire new games. They're expensive to make, and if you want that company to keep making them, they need to sell their work. There's also no gaming equivalent to the RIAA, so generally speaking, you're paying the devs who built the game, the publisher that did all the physical production of discs and crap, and the store that sold you the game, all of which you should want to support.
What about very old games, however? Suppose you read about some ancient SNES game on a site, and decide you want to try it. Those games aren't sold anymore, anywhere, so if you were to buy the cartridge, you're buying it secondhand. The original company will not get a penny, no matter how you acquire the game. In this case, I see nothing wrong with grabbing an emulator and a rom, because you're not denying anyone profits - there aren't anymore to make on that game. I would apply this to any system from 2 or more generations ago, any PC game at least a decade old, or any game for either where the company went out of business. (You can usually still buy stuff from the previous generation of consoles, and computer games usually get a second run in a collection package, but a dead company is well... dead.)
With music, it's harder, because there's an added moral dilemma. The RIAA gouges bands to the point that it's rare for a full dollar of that $15 CD to actually make it to the band, and it's usually a lot less. Worse, there's a good chance that a larger portion of the sale is going to RIAA lawyers to sue grandmothers that don't own computers and lobby to get ridiculous laws passed to kick people off of the internet. (Google ACTA, it's scary.) So on one hand, you're buying an album to support a band, but on the other, you're also supporting an evil, exploitative system that harms musicians and listeners alike, and society itself as copyright strays further and further from its intended original purpose.
Additionally, there's the fact that seeing a band in concert gives the band a very significant chunk of the ticket price, with the rest supporting the place running the concert, both of which are worth supporting... and it does this WITHOUT also funding the RIAA. Ditto on buying band merchandise (T shirts, etc.).
The solution would seem simple, except of course that you almost certainly listen to a good number of bands, but will only ever see a fraction of them live, so "just go to a live show of everyone you like" simply isn't practical.
I'm honestly not sure what the best answer is here. For bands that aren't on RIAA labels, yeah, definitely buy the album. For ones that are though, there's simply no way to buy their music without doing more harm than good.
As for penalties, what you're stealing is an infinite good, so any penalties should be civil, not criminal - you've only denied profits, you haven't done any other damage. Penalties should be based on the sale value of what you took with a 2-3x multiplier. So stealing $100 of music should get you a $200-$300 fine, not your house and life savings like the RIAA wants. There should be no penalty at all for old games (see above), and of course, in any case that a band directly encourages downloading and spreading their music, there should be no penalty for doing so, as they've given you permission.
I really hope the RIAA will hurry up and collapse though, as then it'll be possible to simply pay bands.
Edit: Just to clarify, when I'm talking about penalties, I'm saying IF there's going to be penalties, they need to be sane as opposed to the ludicrous $10k+/song people have been sued for. I do ultimately think that eventually, downloading will indeed become the norm. Physical media is obsolete tech, bands have always made most of their money through live performances, and once the tech fully catches up to allow large-scale promotion efforts with the downloads, that's going to become the standard, with the RIAA going bankrupt and being missed by... no one. That isn't going to happen overnight, however.