No, it's not illegal.

Music

All free
[Link] DatPiff
[Link] Free Music Archive
[Link] FrostClick
[Link] FUGA Underground
[Link] headphonica
[Link] Jamendo
[Link] Kahvi Collective
[Link] Newgrounds
[Link] NoiseTrade
[Link] Machinimasound
[Link] OverClocked ReMix
[Link] OpenGameArt.org
[Link] scene.org

Partly
[Link] Bandcamp
[Link] Restorm
[Link] ReverbNation
[Link] SoundCloud

Individuals
[Link] Dan-O
[Link] LAPFOX TRAX
[Link] LukHash
[Link] NoSoapRadio / DST
[Link] zero-project

Other
[Link] Cave Story OST