The closest situation for me is when I first time got on internet and used hacked password on the porn site which gave me that message how my IP is logged and police is coming to arrest me ;)

But it is pretty obvious that if feds are going after you they are not going to announce that in advance making the video lecture of their methods so that you could delete all evidence
police cannot prosecute you for downloading that stuff they need at least find it on your computer. so if you are into something controversial you should use encryption like TrueCrypt and store it on some external HDD where you can claim that you just bought/found it that way and don't know the password.