Compare that to my country, where it's perfectly legal to download whatever music or movies you like from the internet for personal use, pirate websites or not. Also a western democracy. So it's not so bad everywhere.
Though a price for this is that we pay a special tax on every storage device we purchase.
My mind jumped to Canada when I read the above comment, but really there are a number of countries that fit the mould. Most western countries have a special levy on blank media, including all EU member states except Luxembourg. I don't know which countries don't prohibit the downloading copyrighted material similarly to how they prohibit sharing that media, but Canada is one of them.
Though a price for this is that we pay a special tax on every storage device we purchase.