I have wondered that myself with lime-wire and things existing. The best answer I got when I was asking this very question was something like this.
Oddly enough, while the act or possession it's self may be illegal, it is not always illegal to sell the product or service. For example it is perfectly legal for places to sell custom car parts, including red and blue neon lights. However, that does not mean it will be "legal" for you to use them.
It's legal for places to sell house hold cleaners and other products, but it can be considered illegal to purchase or be in possession of a combination of them.