You are most likely committing an illegal act in downloading unlicensed music. You are essentially stealing a product. This makes you liable for certain civil and possible criminal penalties.
Stealing another person's creation and work is morally wrong. A culture that begins to believe that this practice is acceptable can evolve into a more thoroughly morally corrupt society.
Artists depend on royalties for their income. If you are not paying for your music, they are not getting paid.
Artists need to be paid for their work or they cannot continue to create. The marginal artists who create new and diverse music will be hurt more that the stars who can possibly afford to miss some payments. This will lead to a decline in musical diversity.
The potential exists for music downloading technology to be outlawed and for providers to close down if they are not economically viable.