Well, if you google for the thing you want to download and you find that Amazon or some similar site is selling it for a lot of money, chances are that it's copyrighted.

Generally legal to download is free software (e.g. linux distributions), music from artists who are dead like a hundred years, movies that were made more than 50 years ago and the like.

There is also a small fraction of music put on Gnutella by artists themselves, - you can find some of it at http://www.magnetmix.com .

BBC recently started putting certain documentaries online but I don't know which ones they were. TV Episodes are also sort of a grey area, because it would be legal if your friend taped them and gave you the tape but they are still copyrighted. (Unless it's pay-tv it's pretty safe.)