It is against the law to take and use something that is copyrighted without the owner's permission, hence it being illegal.
The thing is though: is something being illegal and being wrong the same thing? I don't think so. For instance, slavery was once accepted under law, but I don't ever believe it was right.
Copyright law is draconian, and hence restricts people far too much. Now, I still agree that downloading tons of music and not paying anything to the creators is wrong, but the fact is that most popular music bought now has more money going to bigwigs in the record industry than the artists themselves. This isn't great.
Next: 'legal' music that you can buy online is usually very restrictive. Mostly it's crippled with DRM that restricts you as to how you can use it: say, only on certain players, or only on a certain number of computers, or only for a certain length of time. This is, or certainly should be, a violation of your own rights. In effect you're renting the music from the record companies, not buying it. If I go and buy a TV or radio, I can take it apart and play with it as I like. Why should it be any different with music? I should be able to do with it as I like, once i've bought it.