Yes it is illegal but for those of us without friends it's a way of trying out bands we've either heard of or heard about without paying big money for a CD to get home and find out it's carp.
If I like it, I buy the CD, if it's bad I delete it (why take up the hard drive space). After ages of buying CDs to try only to hate them I'd not bought any anything for years, I'd got walls of stuff I disliked/hated/were meh which either ended up down the charity shop or in the bin.
Since downloads, starting with napster/kazaa where you can suck it and see, I bought the CDs I liked, I even downloaded some of those selection box type collections of the type "if you like that try this". And not just big stars, it lets you hear local tiny bands from around the world that otherwise you wouldn't have been able to appreciate.
I've got a shopping list now of stuff to buy and come payday my bank account will take another hit. In a way if it all got stopped I'd be richer :)
Yes, there are people who never buy anything but on the whole it would appear that musicians have made money out of me and many others that they otherwise wouldn't have and got fans from around the world that make it worth coming from Australia to the UK to tour.
My personal recommendation for a band you should listen to is called Surge, a rock/metal band from Islamabad, Iran. I know, rock music in Iran, what a concept!!! It shows you the aspects of a country the media outlets and governments don't. Destroying preconceptions and spreading universal love, isn't that what music is for after all?!?!? :)
You can download 2 of their songs for free from http://www.surge.com.pk/v1.0/home.html and I never would have heard of them without free downloads.