Metallica comes immediately to mind because of the Napster debacle. (You might have to look that one up if you're under 30.)

A few years ago, the producer of the Adam Carolla Podcast told a story, on the podcast, about going to a party at the house of one of the main guys in the band. In the course of showing off his home, said band member took the guests to see his movie collection - which were all pirated copies.