Well, you won't get in trouble unless a company is actively looking for people taking their material.
In my case, Nintendo and whoever made a big multiplatform space/horror game (can't remember the name, never got around to playing it
).
99.99999% of the time you'll be fine.
I've been dl'ing since dialup and newsgroups, IRC, napster, edonkey/emule, etc etc and never had any "warnings" until last year.
PG2 is great and there's not really a reason not to use it, I'm just too impatient to wait for shit to download on public trackers full of hit-and-runners.