Yes, it's immoral. It's stealing. People record music or make films to sell copies of them and make money. Do you eat at a restaurant and run out on the bill? Do you fill up your gas tank at a gas station and drive off without paying? It's essentially the same thing. Maybe you're one step removed, like someone stole the gasoline and then gave it to you, or stole food from a drive-up window and gave it to you to eat. You're receiving stolen goods. The person who gave them to you didn't have the right to give them to you.
And why be so cheap? You can download a song from iTunes for 99 cents or at most $1.29. I used to buy 2 songs for that much on a 45 rpm record back in the '70's. You adjust that price for inflation and you're probably paying about as much per song as I did back then. Tell me what else you can buy as cheap as you could forty years ago.
A movie might cost as much as $12 in the theater, but if you wait a few months, you might be able to see it in a second-run theater for $5, and after a few more months, you can subscribe to Netflix for $7.99 and not only see that $12 dollar movie, but as many movies as you can watch in 30 days and then cancel the subscription if you feel like it. Or you can buy a gently used copy of the DVD or Blu-Ray disc of that movie on eBay for a few bucks.
If you don't think the musician or the actor "deserves" the money, go try writing a song and recording it and see how hard it is to do it well and to find someone willing to pay to listen to you sing it. Go try and write and direct and act in a movie and make it well enough that people want to see it. And if you manage to do either of those things, see how you feel when someone steals your work and gives it away to people.