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In the case of pirating multimedia, be it video or music, which problems may be caused by the video or music file itself? Could a video or an audio file be used to spread malware?
I'm talking about the file itself, not about vulnerabilities on the software used for download nor the media player.
If the file were a picture, then steganography may be present.
There are several risks when it comes to piracy, both legally and from a security point of view. I'll try to approach them as well as possible.
Downloaded with the .avi, .mp4, .mkv, etc. there might be some executable files, with some special icons that can trick the user into clicking them, thus executing malicious code.
The media file itself (the movie or the song) could be specially crafted in a way to exploit a vulnerability in the user's media player, thus executing malicious code. (For both this point and the one before, please take a look at this answer for more information)
It could have a vulnerability in handling certain requests, giving the chance to an attacker to exploit it and execute malicious code. Remember that in P2P filesharing (BitTorrent, for example) you're revealing your IP address and disclosing the the torrent application's name, version, and the listening port.
It could have a vulnerability in handling certain files, allowing a specially crafted executable or non-executable file to execute malicious code.
Many fake warez websites trick visitors into download "plugins" or "accelerators" to help them download the materials. Those files are most likely malware.
This kind of websites can be a good target for watering hole attacks especially after the release of a big blockbuster.
Because you're revealing your IP address to the swarm, anybody downloading the same file with you can have your IP and thus possibly your identity, which leaves you vulnerable to legal prosecution by copyright holders.
Your ISP might (sometimes without a warning) report to copyright prosecution firms.
Well, talking about this is somewhat controversial, so I'll do my best here.
The Scene has a strict vetting policies that makes it difficult to upload malware in their releases, a large network of people whose sole purpose to produce better quality releases. The risk is minimized by using invite-only private trackers, where users are kicked with no possibility to come back if they attempt to spread malware.
All in all, there will always be a risk, but like anything with security, you can take some steps to minimize it.
Could a video or an audio file be used to spread malware?
Yes, for certain kinds of media file.
In addition to everything Adnan wrote, it is possible for Windows Media (ASF/WMV/WMA) files to launch web pages. The idea is that for DRM-impaired files it can send you to a site to buy a licence to view it. Of course it can also send you the usual web threats of browser/plugin exploits, fake codecs and other scams.
Abuse of this misfeature was common in the mid-00s though seemingly not so much now. You also get the opportunity to turn the feature off now at WMP first run, though it is on by default.
This threat doesn't apply to the common open file formats like the MPEG family, but unfortunately WMP will happily open a WMV file that has been mislabelled as .mp4, so you can't rely on the apparent-filetype.
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