Depends what you mean by safe? If you mean that you can' get viruses, well that it true for media files for the most part. Downloading software is a different. As for finding content, if you download copyrighted material, your ip address is not secret and you can be found.
I would suggest downloading Creative Commons work using BitTorrent.
I heard about this Pirate's Bay in your wonderful podcast of undetermined length and was wondering whether you would recommend using Pirate's Bay as a media source? Is it safe? If so, what bittorrent client would you recommend using.
Thank you very much.