It's very debatable!

You're not buying the song, you're buying a licence for a song. That means you can only play the song in the comfort of your own home (if you check your CD / DVD cases it applies to both music and videos). Radio stations have special licences which lets them use music over radio! It also explains why department stores play the same crap over and over, and why your bank always puts you on hold with "green sleeves". They buy the licence for one song for public use. My old work had to apply for a public licence just to play music in store. Still, most people don't give a shit and do it anyway.. It's not like they're going to sue an individual person for downloading 1 song.

In effect, by law you can actually only have one copy of the song which also makes backups illegal, but people do it anyway...

P2P programs are the best places to get caught downloading MP3s though.. So if you want to get caught, those are your best chances.. Because it's P2P you have to contribute back most of the time, and contributers are the people who more frequently than not get stung by the fuzz.