Oh bloody hell, this topic pops up every couple of months, the short answer is:
"Are you confidend enough to approach RIAA, tell them you downloaded copyrighted material, and you didn't have permission from the copyright holder? If the answer is no, then it's 'illegal', if the answer is yes, then your 'guillible' and i have an island to sell to you..." ;-)
A couple of years ago we had this same discussion, it should be somewhere on these boards, and the conclussion was then that it was illegal (atleast in america). I've not kept my eye on american copyright rulings in a long time, and given the nature of freakisch american rulings, i can't honestly say that i know ho it is now in americ. But be sure to err on the side of caution because if you don't, you can be scarred for life...
On the other hand, in the netherlands, it's only legal to make copies for personal use, so no downloading copyrighted material without permission from the copyright holder.
There's also 'international copyright' law, it should theoretically overrule local rule, but most of the time it doesn't. All i can say is that copyright law is a minefield, and getting worse by the day.
Now the good news, there's nothing physically stopping you from downloading copyrighted material, your primary enemy is your consience...