It's not a criminal offence, but it is a commercial breach of contract when you lie about your location when signing up. Apple could do anything from nothing to revoking the authorizations on your purchased items.
When Apple signs a distribution agreement with a record company, they are contracting for a license to distribute in specific countries only, either because the rights are owned by a different group, or Apple didn;t like the terms, or the record company wants to restrict distribution.
So lets say that ABC123 Records in the UK is happy to license their catalog to Apple for US sales, but they have their own ABC123tunes.com service in the EU, and don't want iTunes competing. By falsifying your information to get downloads that are not licensed for your country, you are putting Apple in the position of breaking their contract with ABC123 Records.