It all depends on the jurisdiction of your residence:
Direct downloads can be a breach of law as you illegally „copy“ (by downloading) protected IP (intellectual property).
Torrenting is „worse“ though, as you both „copy“ and „distribute“ (by uploading) protected IP. The distribution part usually gets you into trouble if you can be identified.
German laws concerning file-sharing are pretty strict and clearly condemn any kind of file sharing activity related to copyrighted content. While both download and upload are condemned by law, it’s in reality the uploading part of the process that will be rewarded with a warning letter. Using services like torrent clients makes you automatically share the file you are downloading. This is why torrent and other P2P clients users receive a lot of letters from German lawyers.