DivX

Illegal downloads are pretty much just found on P2P networks as any download location such as FTP is usually shut down quickly and plus they usually have to actually pay for bandwidth instead of using their ISP and that goes against the whole "steal other's work and don't pay" philosophy.

BitTorrent uses methods better suited for transferring large files than Kazaa, so it's popular for movies. Keep in mind that it's a P2P system all the same, and it's just as illegal and virus prone. I haven't used BitTorrent clients myself, but the Shadow's Experimental BT Client is the most popular

Most BitTorrent clients are open source. The official one from http://bitconjurer.org/BitTorrent/ is safe. I have examined the source code. Keep in mind this is illegal, so I won't list any sites to get files.