Here's what I do:
Music: This is probably what I consume the most of. I have a physical music collection which is about half vinyl and half CDs. I'm slowly selling off my vinyl and rebuying the albums on CD. I have a small collection of MP3s (small enough to fit in an unpaid Dropbox account) which were purchased from bands too small-time to have released physical media. If the music was released after ~2000, I probably bought the physical media new, to support the artist--older stuff can be difficult to find new.
News: If I go directly to a news site, it's Mother Jones[1] or Pro Publica[2], and I donate $10 to each monthly. If I click through from an aggregator (such as HN) I view the content with browser-based ad-blocking. For sites that give a few free reads, I use the free reads, but don't make any attempt to get more. For sites that block me from reading with ad blocking, I just leave. I view this as fair use.
Books: If I had every paperback I've purchased, my collection would be huge. But after I read books, I only keep them if they're so good that I intend to re-read them (probably 20 titles in this category) or if they are reference books (probably another 40 titles in this category). Otherwise I give them away to friends, donate them to a library, or make the hard decision to trash them.
Academic papers: Many are free online. If not, writing to the author almost always procures a PDF or DOC file--academics receive little income from publishing, and are often surprised and happy to hear someone is interested in their work. Sometimes the author is dead, however. In general I have little objection to using SciHub, especially when research is government-funded.
TV Shows: I pay for a few streaming services (Netflix/Amazon).
Movies: Movies I tend to see at a local movie theater, or (less frequently) pay a one-time rental for on Amazon. I have some DVDs but don't own a DVD player, so I've only kept the DVDs that would be hard to obtain again.
Small independently produced video: The vast majority of video I consume is shorter videos (usually related to rock climbing). Where possible, I donate, usually through Patreon, but this is a spot where a lot of people don't actually give this ability. I've bought a few products (books, mostly) from video producers (where they produced the products themselves) but this is even less common than donations. So I don't have a perfect solution here.
Independent review sites (i.e. Consumer Reports): This one is a tough one. These sites are important to me (I see these as the user-serving, superior alternative to advertising for product discovery) but many depend on referrer links, and I tend to buy locally. I've made $1 donations a few times where that was possible, but it isn't always, and I don't use any one review site frequently enough to justify a subscription. So I'd be interested to hear strategies for this.
[1] https://www.motherjones.com/
[2] https://www.propublica.org/