So, you're perfectly clean, you have *cough* purchased a license for all the software you've ever used *cough*, and nobody can bother you about this? Well, if that's the case, congratulations :)
However, for most people, let's be honest, illegally copied software is very common. Copying Adobe Photoshop instead of buying it probably doesn't let you have nightmares. But are you really confident that you won't ever have trouble for that? Not so sure, huh... Software makers are progressing and finding more and more ways to track down illegal owners, and since more and more people tend to have broadband (permanent) connections, they might add an online functionality on the software that will control and verify your copy each time you launch it.
If you run Linux and install free software, you won't have to worry about this ever again! Most of free (as in free speech) software is free (as in free beer). You can find a free replacement for most of the commercial software out there. They might lack some of the advanced functionality, but they'll be more than enough for most people. Here's a list of some commercial software, and their open source equivalents :table_parser ("Yes", "No", "Commercial", "Open source", "Exists on Windows?"); ?>
Drawing by Michel Cambon