Using VPN services is legal in most countries, including the United States. However, using a VPN to commit acts that would be illegal without a VPN is still illegal. For example, while downloading movies without paying the official distributor for personal use is not illegal in all countries, it is illegal in the United States. So, doing this in the United States, using a VPN that makes you appear as though you are in a country where it is legal, is still illegal.