Yes........did you know that the Authorities have a way of tracking the MP3's you download.......and as soon as you download something (because chances are, it is illegal), they call in the MP3 Wraiths, and they come to your doorstep to get you!!!!
MP3s to Rule Them All.
Seriously though, I'm pretty sure most downloading is illegal, but you shouldn't have anything to worry about. Millions of people do it everyday. Its the sites themselves that take the heat if its illegal.