There are no penalties in the US for downloading movies from Torrents etc. There are however penalties for sharing. But here is the tricky part: a lot of software out there (to name one Vuze) allow you to download, but as you are downloading, you are also sharing.
The only people who get busted are the ones that, after finishing downloading something, they leave it in the same 'shared folder', so the file gets shared, and that's illegal.
I know all this because I was told directly from the MPAA (Motion Picture Association of America). They gave me the example of the drug dealer. If you buy it and use it for yourself, you may not get busted because what they are after are the people who sold it to you. Same goes with files sharing. Downloading is fine, sharing is not.