I stumbled on this 12 page paper today: http://alumni.cs.ucr.edu/~anirban/Anir-networking07.pdf
It is a very well researched and written article on just how vulnerable the average user is to having their file sharing habits spied on. The short version is that if you use any type of file sharing network, you should also -at the very least- install some sort of filter/firewall to protect your privacy on these networks. Open-source, freeware, privacy firewalls such as PeerBlock, can be surprisingly effective at reducing your chances of being monitored, according to the article.
While it hardly makes you immune to monitoring and any trouble that might get you into, anyone participating in even the smallest amount of P2P should probably install PeerBlock or some similar software. Either way, the article is a good read for anyone wanting to learn just how you might get an angry letter from your ISP for your downloading habits.