As an example:
I set up a VPN in the Netherlands, hosted on a VPS. I was connecting from another European country (where ISPs block torrent sites).
Within minutes of attempting download of recent movie release, a Cease and Desist was emailed by ip-echelon.com.
That's the thing. With a VPN service, you don't have to read those ;)
It's not, actually. The same BS is happening in at least Finland too these days.
Legal companies get the rights to some media (in the Nordics or whatever) and monitor some torrents and take screenshots(!) of the IP's in the torrent swarm and can then petition the market court for the subscriber details of the IP addresses in the swarm then send a threatening letter asking for a 500€ settlement. Some idiots are even caving in and paying. I don't think anyone has actually been sued yet for establishing some precedent (though the Finnish legal system isn't based on precedents).