There are plenty of strictly speaking illegal means of finding and saving media. From the earlier methods of checking P2P sites and software to using places like rapidshare and torrents. The history of the internet is filled with smart and plain illegal means just to get one’s hands on music, video and software.
Of course plenty of websites exist that allow streaming of music but make it difficult or impossible to save the file. Sometimes listening to places that stream music it is even possible to find a link to a working, downloadable MP3. Search for song on playlist.com for