My impression is that the majority of people in the entertainment industry are leftists, so unless you don't go to/rent any movies, don't watch TV, or buy any movies, you will be financially supporting them. The money you spend anywhere else could be going to people or causes that you disagree with politically as well.
I do avoid watching anything with certain actors, however. If I see something with Danny Glover, Susan Sarandon, Alec Baldwin, and others, I don't see the character they are playing, I see the obnoxious, loudmouthed jerks they are in real life, and can't enjoy the film they are in.
I don't know if boycotting them produces a significant difference in income or not, but I think that at least with some of them, there is a perception of an impact. I recently read a statement by one of them (Tim Robbins, maybe?) whining that artists free speech rights are being violated when people "punish" them by not buying tickets. I think the Dixie Chicks had problems filling seats at some of the venues they played recently.
"Stardom" is a fleeting thing anyway. Other than a handfull of the very best, they will all be has-beens cast into oblivion soon enough.