Nah, assuming you're talking about protecting ourselves for the governments. Polls have shown that almost everybody torrents at some point, and obviously the government can't arrest the entire population of their country. 
Government, viruses, spyware, anything. Is using a VPN or Tor common practice?
Government:
- Use a fast, anonymous, P2P-friendly VPN. I'd recommend PIA.
Viruses, spyware:
- Don't be a retard. If you download an album and it contains a bunch of 10kb .mp3.exe files, don't run them.
- Unless you require windows-only software, consider switching to Linux. You will instantly be immune to 99.999% of malware.