There has been one confirmed FBI visit to a resident in the San Diego area following the downloading of Sony files posted online by the GOP hacking group.
The report on Fusion highlights how a security expert who had obtained Sony files was visited by the FBI regarding "illegal downloading" but he was not at home.
It is unclear whether simply downloading hacked files will get you on the FBI's radar, but leaked documents from Sony servers are technically stolen property and could cause problems for people wanting to do something with those files.
Actions that could result in prosecution could include the publishing of trade secrets and financial data on websites or making that stolen data available for others to share with malicious intent. There is cause for concern that some people may have gone too far in copying sensitive information and making that available at Sony's expense, however those that are unclear about what they can and cannot publish should consult an attorney before making information available.
This kind of hacking scandal is a major problem for journalists and news publishers who have in some reported cases been presented with these files and made that information available from excel documents to screenshots of salary information. Whether sharing this information falls into the public domain once it has been copied is still a somewhat murky area where 1st amendment rights also have to be taken into consideration.
Again seek legal advice if you are knowingly downloading hacked information you plan to share with others.