Downloading music for free is illegal because the many people involved in the production of that piece of music aren't receiving royalties for their work. These people include not only the artists, but also producers, engineers and the record label itself. The Digital Millennium Copyright Act, passed by U.S. Congress in 1998, declared music downloading illegal.
Though you may not choose to think of downloading music as theft, the government considers it to be a form of theft. The recording industry tries to impress upon people that downloading a song or album is no different than walking into a music store and shoplifting that same album, though many people still don't consider it to be wrong.
In addition to being illegal, downloading music (and other media) for free is also highly unethical. Consumers should think about a hobby of theirs, whether it's music or something else. Then, imagine working so hard at that hobby you love until you become famous and successful from it. But if people are stealing what you produce, whether it's music or something else, you'll soon be unable to afford to continue down this path. This is the situation with the recording industry and online piracy.
Despite so many websites offering illegal downloads through peer-to-peer networking, there are still ways you can get music legally with the convenience and speed of an illegal download. Services such as Apple's iTunes provide music downloads for free, typically at a cost of 99 cents per song and $5 to $10 per album. Through iTunes, you can download a vast selection of music legally and ethically.