The questions are not easy, to say the least. I used to use sites like the pirate bay myself, but I have since changed my mind. I don’t see piracy as something that should exist. If you want to use someone else’s product for your needs, you have to pay for it or at least ask permission… And in a developed society with a strong economy, this is likely to be the case (of course, this does not mean that piracy will not exist).
It’s very simple: Torrenting is legal, but torrenting unsanctioned copyrighted material is very illegal. Remember that your ISP and copyright trolls constantly monitor peer-to-peer networks (such as uTorrent) and may take action if they catch you torrenting copyrighted files.