It's not legal, just the police in most countries have bigger fish to fry than people downloading mp3s and blu-ray rips.
But, try pirating content in Germany and you're guarantee to receive an angry letter with a fine from some crooked law office, threatening to sue you on behalf of the IP holder if you don't pay the fine. It's basically a legal mob shakedown.
Granted, this is more of German thing, as German laws makes it the European stronghold of copyright/IP trolls, while most of Europe doesn't bring out the jackboots for small-time internet piracy the way Germany does.