Depends on the country, actually. In Poland, as in some other European countries, it's legal to download copyrighted content without paying for it. It's only illegal to distribute it without the copyright owner's permission.
Torrenting copyrighted material is illegal because you necessarily share files as you download (if a peer asks for a piece) but direct downloading or streaming via HTTP or Usenet etc. is legal. Hosting those files via HTTP/Usenet etc is not though.