It's hard to say how much of a fiscal impact piracy has had. I'm of the opinion that most pirated games wouldn't have been sales. For pirates, it has to be free, and not a penny more. But, I don't want to give the impression that piracy isn't to be taken seriously.
When you're the developer of a popular game and you see your game being pirated much more times than you had legitimate sales, it would be pretty infuriating. Modern Warfare 2, for example, was pirated over 4 million times for PC (and likely much higher). Now, the PC is only 3-5% of the console market, whose total sales were around 5 million at launch, with lifetime sales probably tripling that, easily (feel free to correct these numbers, they're just for the sake of argument). This implies that the number of pirated PC games substantially dwarfs the number of legitimate sales. Even if we accept that only a small percentage of pirated copies would otherwise be sales, we're still talking about an enormous amount of potential sales.
Now, I can't stand Activision (specifically Mr. Kotick) but I chose them as an example for two reason. One, MW2 was one of the biggest game launches of all time, and Activision is kind of an industry leader. How they and other major publishers react to piracy is crucial. Second, losing out on these potential profits may not harm Activision, but for small studios, it can absolutely make the difference. I suspect that's partly why PC games are flocking to Steam.
On the other hand, for most consumers, the most important aspect of this is dealing with copy-protection schemes. There's not substantial overlap between the people who pay for their games and the people who don't. That's why draconian anti-piracy measures that are necessarily directed at consumers don't hurt pirates, because most pirates who are deterred wouldn't suddenly decide to put on their consumer hat and go purchase the game.
I like this interview from Gabe Newell of Valve best. I'll link to it, but basically he says that companies should mostly ignore pirates and instead focus on how they can provide a superior experience to their customers. I like Valve, and Steam generally (good sales, no codes to lose, and is minimally intrusive after install), although Valve's latest stunt to sell me digital hats for $18 in TF2 has me worried. The service that GoG offers is the right approach I think; they focus on rewarding their customers, not trying to punish pirates.
http://www.youtube.com/watch?v=pLC_zZ5fqFk