| From a purely risk point of view, there is actually very little to worry about if you're simply DOWNLOADING. It is only people who UPLOAD masses (namely 1000s) of files that have been targeted. There has been not one single person sued for the act of pure downloading, and there are no plans to do so either. This has even been categorically stated by the BPI in UK and something similar has been said in HK.
But the question is of your own moral standpoint. Some people think it's wrong, and others think it's ok.
You should avoid Kazaa as over 95% of those caught UPLOADING have been on this software. Limewire is ok. Bit Torrent seems ok since there hasn't been a single BT case but you never know.
If you're paranoid about getting caught, go to a free public wifi hotspot such as in Festival Walk in Kowloon Tong. NOT in Pacific Coffee where you need to login with credit card, but just around the shopping mall. It is virtually impossible to detect downloading from hotspots. | 
i have to say it again....unsecured wireless connections rock!
allofmp3 
