Should you be paranoid....it all depends what you do and how you do it. We're talking theoretically here, of course.
For the most part, no matter what you're doing, a little common sense goes a long way. Using proxies, not bragging about your 1337 h4x, and clearing all traces that you've even been in a system are good for starters.
As far as CIA/NSA/FBI/Big Brother/Mom/God/Whoever....
The CIA is tasked with gathering and analyzing intelligence (primarily HUMINT, or Human Intelligence, and IMINT, or Imagery Intelligence), as their name so subtly implies. They have about 0.0005% interest in whatever you're hacking into, unless it's their own computers. They're not so much concerned with people as they are with info. It's the FBI's job to catch bad guys.
The NSA is an even less likely candidate - they're primarily tasked with defending the cyber-security of the country, mainly in the fields of cryptography and SIGINT (Signals Intelligence). Unless you're rooting govenment systems right-and-left, they're not gonna care about you.
FBI, on the other hand, is a purely law-enforcement agency. Their job is to find and arrest people who are breaking federal law, ranging from enemy spies (yup, FBI handles that, not CIA) to....hackers. Most hackers who get in trouble with the law get a first-hand look at these infamous Gibsons. But remember - the best way to get in trouble is to do something stupid.
If you're going to get in trouble with the Feds, 99% chances are it's the FBI. But they'll only go after you if you break a federal law, and you leave enough evidence behind for them to track you down and identify you. As I said in the beginning of this post - use some common sense, a lot of stealth, and always hide your tracks.
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