At least in Czech republic, there is no penalty for downloading copyrighted content. You are, by law, entitled to it, as you might get yourself a copy of what you already own. Bought a film on DVD? You can legaly download it from wherever.
This all ends once you start uploading it, tho. You cant upload it, period. Problem with torrents is theres no checkbox to signal "stricly no upload", you can only set limit to few kb/s to minimize this issue, but technically even few bits can still get you prosecuted.
(edit: following is wrong, perhaps germany is same as Czech, see child comment) In Germany, its a different story. You cant even donwload, not by torrent or even from sites. I know of people receiving fines in their mailboxes with IP/Date/Site/Material list and finig each piece by ~200€.