Yes and no If you allready own something its ok. Say you got a pc game and the Disk got scrached down the line and i think its ok with none copy righted stuff. Say if you download Something that was off BBC radio 1 in a way you have allready payed for it Due to there fantastic Tv Lisence You must have if you own a tv you pay for bbc even if you dont wach it.
Yes its illegal if you do not own it but the way i see it if you are allready paying for things like sky. Free PPV's and raw and smackdown should be ok but thats just me.
As with eneything like this its your own risk
I am not 100% about this but they cart do eneything to you for downloading illegal stuff but they can get you if they cach you shareing it.