Honestly, with the exception of some countries in Europe (Sweden) and Asia (Hong Kong (though this is kinda a part of China, It's also kinda separate) ) and developing countries in Europe (Estonia/Latvia/Bulgaria/Romania/Russia etc.) and Asia (China, Malaysia, Vietnam, Thailand), there aren't any places where It's "legal" to link to/host copyrighted content. Though in Hong Kong and Sweden where there aren't any laws against linking to content, or there actually is legal precedent which states it is legal, most developing countries either have no laws against internet piracy, or piracy there is so rampant, the laws aren't enforced.
However, the reach of corporate America is very far, with the exception of very few countries like Iran and North Korea, nowhere is actually safe from the influence of IFPI/MPAA/RIAA. If you're a huge site hosted in a "safe" location (I.E. ThePirateBay in Sweden), the corporate copyright cunts will lobby (a BS political term for bribe) the US Government to bring you down, and the government actually threatened sanctions on Sweden if ThePirateBay wasn't taken down, and indeed it was illegally raided in summer of 2006 because of this (according to Sweden law, anyway).
Honestly, if you're a small site (I.E. not in top 10,000 on Alexa I'd say) you'd have to be really unlucky to get raped by the MPAA/RIAA/IFPI. It has happened (as is the topic of this article). The best advice is, if you're afraid of the law, or what could happen to you, simply don't start a warez site.
Also, keep in mind, that the location of your site is really not the thing that optimally matters, unless your site getting raped by the MPAA/RIAA/IFPI actually happens, it matters very little. There are many large sites (I.E. Undernation, ForumW, ProjectW) hosted by hosts in the US. Warez-BB used to be hosted by Hurricane Electric in the US (this was a while ago, though). The thing that matters the most, is your host/datacenter. There are lots of hosts in Netherlands, Germany, Hong Kong, Malaysia, Singapore etc. that don't allow warez sites, and others that do.