Every time you go shopping you have choice over variety of similar products. And sometimes I believe you choose some of them not because they are better quality or cheaper but because there is something special about them - maybe product made of recycled/renewable material; maybe it's plastic-free or perhaps because manufacturer promise to donate some of the revenue to charity or research fund.
Simply by choosing what you buy your have tremendous ability and opportunity to support those who deserve it.
Imagine it come to your attention that famous company use child labour to manufacture their products. If knowing this you buy something from such company you encourage this practice to continue. Therefore your choice is more than convenience to buy what's best for you - it's responsibility.
As consumer you have some rights - for example some products you can return if it doesn't suit you or if its quality is not good enough.
However if you're not happy with movie you can't have your money back. For some reason (I suspect this reason is profit) we expected to pay for every movie we might want to watch. Personally I had many disappointments when I didn't even watched the whole movie because it wasn't good enough. It is not fair that creators of good movies receive as much support as those who make poor ones. It would be nice to pay for only movies you like and it is equally important not to support those who do something you don't like.
In this regards I think Internet and file sharing has a great potential for ethical consumer to evaluate before buying. And in some cases perhaps simply donate directly to authors as appreciation of they work, if you don't want to pay for plastic and therefore encourage DVD publishers to contribute to pollution.
Your money pollute. Every time you're buying something be aware that sooner or later it goes to garbage. That's why it is important to buy as little plastic as possible - bags and bottles included. Can you expect improvements in the environment if you're not influencing it?
Bottom line: everyone (yourself included) benefits from your money if you spend it wisely. Supporting those who make right products in a right way is important. It is also equally important to refuse giving your money to wrong doers. You're not a passive consumer because your choice matters.