Just out of intrest, what is it you are after downloading? if its free materail then its usually widely available from various websites, copyrighted stuff on the otherhand usually means resorting to p2p type programs. doesnt the name "thepiratebay" make bells start ringing?
Whilst I agree that much software, music and films are overprices, it doesnt give you the right to steal your copy, you wouldnt go into HMV for example and stick a cd up your jacket and walk out with it - downloading copyrighted music or other material is doing just that and yes you can go to jail for it.