The FBI comes knocking on their door with a warrant in order to find out who hacked a mailbox for a government official. In the words of Bart Simpson, they will fold faster than Superman on Laundry Day.
The FBI won't be knocking on any door if the VPN service is in another country, prefably one with decent bandwidth and no extradition treaty with the US.
Russia, where all those cheap MP3 places host their stuff, comes to mind.
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