If you're enrolled in a university check with your IT Help Desk, they usually have deals with Microsoft for student copies.
Yep, if your school has volume licensing they can probably sell you a seat on that for a lot less than retail. Software Distribution here at Virginia Tech offers Vista Ultimate for $95 to students.
Most of the time, really, pirating the OS doesn't make things harder to do. It's against MS's best interests to lock out pirated copies of Windows from crucial updates. Infected Windows causing problems is bad PR, whether or not it's a legal copy.
You do run into optional things that will verify your install though.
IMO, stay legal on software, 'specially stuff like that where you'll keep it for years.