Should merely downloading copyrighted material without authorization be illegal?

In the United States, it is illegal not just to distribute copyrighted files without permission but also to download them. Where I live, however, only the distribution is illegal. Which system is better -- and why? Also, I don't condone violating copyright, so I don't watch the films my sister downloads without permission. Am I obliged to do that, given the laws of the country in which I live? Should I check the copyright status of every film or show I watch?