Up or down, it's still illegal (although not criminal): it's copyright infringement. In theory you could be sued if you get caught or even worse, get a visit from Peter Mandelson.
Unless you are downloading Linux or stuff which is in the public domain (even this is a grey area), chances are it's copyrighted by someone who isn't getting paid.
Unfortunately it's so easy to do that the temptation is almost irresistible but don't kid yourself it's legal.