Comfortable being down on material?

 I was once taught that sacrificing exchange for gaining compensation in return, going on and gambiting a couple of pawns for a positional gain, or sacrificing pawns to gain activity was good.

But I was not comfortable being down on material. I always think that my opponent's plan was to exchange pieces, reach an endgame with a winning game for him and so on.

How to change this mindset?

IM pfren showed that game once... (if helps)

Good game! He sacrifice a queen for the initiative, and that initiative was being converted to a win.

I am not very comfortable being down on material.  In fact the one thing that has recently increased my win ratio was to not gamble pieces for position.  In almost every game my opponent does this I come out on the win side.  I can think of some exchanges in the pirc defense where white takes two pawns on b5 for a minor piece usually a knight and does not magage to gain any real advantage.  Considering I play at an ametuer level risking a full piece without a clear mating pattern to follow is a dangerous proposition.  If the opponent manages to fall back and equalize come the endgame I will be wishing I had the extra material..  Is there some study material to sharpen this instinct or is it more a situational opening particular type thing?

Personally I enjoy being down, I find it sharpens my play and has increased my success both online and OTB. Sacrificing a pawn or piece, if you have a plan, can be quite helpful. But without a plan and reason for the loss of material then you are simply giving the opponent a handicap

It does sort of shock the unsuspecting eye! but with Bb5+ I can see where it becomes more of a line.  As you consider it a book line is the capture of blacks queen forced from move 6?

It truely depends on your game style. I know some people who can sacrifice a queen or rook and win with ease and others who will trade only when absolutely necessary and are rated 1900+ FIDE.

Also, you must be able to read the board and determine the best strategy. As MichaelPorcelli said, "without a plan and reason for the loss of material then you are simply giving the opponent a handicap". There are some good routines that losing a rook for huge gain in developement is advantageous (such as the Trexlar Counter Attack), but you need to know what you are doing.

If you need help knowing when to play aggressively and where to focus your attacks, I recommend reading IM Jeremy Silman's book: The Ameteur's Mind, Turning Chess Misconceptions Into Chess Mastery. I am only part way through and it has greatly helped my games.

Example of a game I played with the Trexlar Counter Attack:

Aggressive players who rather choose initiative than material is a good type of this play. Like Garry Kasparov who sacrifice two or more pieces to gain strong initiative.

I think what important is we can weigh the advantage to know which is better on the specific position.

This is one of my favorite games from Kasparov.

That game was just beautiful. He knew somewhere in the middle of the game that it would end up with his opponents Kingside just decimated. So he traded towards having two Bishops as they would be more powerful in that position. White's two Rooks just standby sucking their thumbs as the King sweats it out behind his lady.

Oh and uh...I am perfectly comfortable being down on material and love how exciting a game can become when, even down a Queen, you start pushing back out of that corner and push your opponent into one. Tactical euphoria that is.

2 bishops against 2 rooks?  Good game indeed by kasparov.