Actually, downloading is NOT illegal. Copying, distributing, transcoding, reducing to machine readable form, etc. etc. is illegal.
There is nothing in the US copyright law that says you cannot ACCEPT copies of copyrighted material. That's why they don't arrest people for downloading movies, they arrest those who re-share them on file networks or peer-to-peers. You can technically download all you want as long as you have sharing/upload turned off, because then you're re-distributing the work. (Of course, there's the moral issue of depriving Fox of the extra $7 they could have made on Star Wars) There was a court case where the copyright holder argued "recieving of stolen property" but lost, since nothing was physically "stolen" by definition.
In fact, you're allowed to make as many copies as you feel necessary to protect your original investment (master disks) as long as you don't give, sell, or loan them out. I do that with DVDs where I don't want to mess up the originals (especially $100+ box sets) and play the copies, but Hollywood and its moguls are making it increasingly more difficult for me to exercise my Fair Use Rights.
Also, there's a grey area where if you own the original work, you're free to download a copy of that work for your own use. Example: If you have Twisted Sister on vinyl, you can download the MP3s of that album, since you own the original copy. Thus, if you own the 5.25" disks of a Sierra game but you don't have a floppy drive, you can legally download and use a copy of that game.
But take no advice from me, I'm not a lawyer
-Tom.