There are no laws against downloading copyrighted protected movies/music that I know of in the United Sates. Indeed, I do so daily from dozens of sites, usually paying, sometimes not - I trust the publisher to verify whether they are authorized to sell/give me those files.
The implementation certainly differs. The US at least keeps copyright infringement civil unless significant damage or financial gain has been made from the infringement. In Japan, the police already go after infringers, irregardless of the damage. They also put a lot of resources into breaking the encryption used in the various Japanese p2p networks.
If someone is downloading copyright protected movies / music, the MPAA / RIAA respectively will come down on them and subject them to fines.
Now, I don't know anyone that has actually been convicted of this, however, there are accounts.
Any first/second hand accounts?