Someone please correct me if I'm wrong, but I believe it is perfectly legal to download movies.
What IS illegal is uploading them, or permitting them to be downloaded. If you look at the language used, everyone convicted of copyright infringment was done so on account of permitting others to download the copyrighted content.
Consider this, you donwload a movie, and don't permit it to be redistributed. What have you done? Eseentially you have "stolen" (depending on your morals) a product worth the price of the movie. However, if you permit others to download the same content, in effect distributing it, the damage is much more worth going after.
If your downloading movies, music, whatever - make sure you aren't making that content available to others; most fileshare p2p apps autopmatically share what you've downloaded.