First of all, If everyone who downloaded music without paying was to be arrested, about 90% of the worlds population (myself included) would go to jail.
And its not technically *illegal* per se, in the US the loophole is this little quote lifted from one of the sites I belong too:
"The RIAA says that you must delete all of these songs off your computer within twenty-four (24) hours of previewing them. From that point forward, what you do with them is of your own will."
There you have it. Downloading is technically not illegal if its done for 'sampling' an artist you plan to purchase. The recording industry has said so itself. However, If the songs you downloaded are kept for more than 24 hours, that IS considered stealing.
Also, if you *only* download illegally, PLEASE TRY TO SUPPORT THE ARTISTS BY GOING TO THERE CONCERTS.