People face civil liability if caught exchanging copyright protected material, such as a motion picture. There seems to be nearly no criminal prosecution for this activity. Individuals caught tend to be sued and settle for fines between $500 and $5000 according to sources (2012). Although there is risk when downloading, there seems to be more risk when uploading, as in sharing.
An individual known only as "Himanlickman" offered one of the best comparisons of the various file sharing mediums online, and a comparison of risk and content.
"Nobody has ever been caught downloading copyrighted material over Usenet. I think people only get caught with DDL sites (Rapidshare, Mediafire) if the place gets raided, and they can only request the downloaders IP's of a specific file, normally new movies. Plain torrenting is obviously the worst, and people get caught a lot. Peerblock helps a lot, and a good private tracker puts you at about the same safety level as DDL sites. If you use Tor with any of the 3 methods, you have very little chance of getting caught, and if you use a good VPN that doesn't log, you have virtually 0% chance of getting caught, even if you upload. (Considering getting AirVPN for this reason)
Torrents seem to have the best file availability, and then DDL sites, and then Usenet, which is why I don't get Usenet very often. Looking for a new main strategy though, and I really don't trust plain torrents, even with Peerblock. I have no idea how safe most proxies are, but I've considered just using free proxies with DDL sites to avoid the wait time, but the speed is still slow, and I wouldn't get premium because there are too many different hosting sites."
source: Safety comparison of different downloading methods Torrent - Usenet - etc. Although this author is either humble, or lacks confidence in his summary, it is actually quite accurate.