It should be mentionned that a lot of the discussion here is American-centric. The law is not consistent internationally.
The act of copyright violation, for instance, is a crime in Canada, but downloading a file has legitimate fair use purposes so right now 'pirating' is a grey area. That is, what you're doing is almost 100% certainly illegal, but they really can't prosecute you because you could be downloading, say, an mp3 version of a vinyl you do own, which falls under fair use. The police could conceivably bring in a bunch of students and grandmas to trial over downloading movies and music, but they would have to prove in court beyond the shadow of a doubt that the download was an act of copyright violation not covered by fair use, which is far from evident, would cost them face in the public eye, and probably result in a non-guilty verdict anyway. So instead they tend to go after the big fish, people who download and copy copyrighted material and sell it en masse. The various business interests are trying to make the law more severe (make the act of downloading itself a crime), but it's not exactly gaining traction. Except for the fact we have a Conservative 'tough on crime' government now, so who knows...? Right now, we have precedents like the tax on CD burners and CD-Rs whose proceeds are paid back to major record and movie companies that seems to say that in Canada, pirating is still tacitly accepted by the government.
Also, some European countries (where almost all the torrents sites are physically located) have loopholes regarding torrents in the law. Torrents are just a small file that tells people where they can grab a file, so the torrent sites are not technically hosting any illegal material under these countries' laws.