There is no law, to my knowledge, that makes illegal the act of downloading. The actual law to do with the act of improperly publishing, violating the copyrights of the original artist. I've often wondered how I am supposed to know whether Amazon, iTunes, etc... are authorized to sell me the material I download from them, and whether I could be liable in any way for illegally downloading from them.

Torrents, of course, are an entirely different story altogether.