Interesting question, and I think jukes gave a good answer. However, I will now present the opposing view. Recently, our university had been contacted by a record company that demanded access to several computers on campus because the record company had detected music downloads of several of their artists, in violation of copyright. The university granted permission and several computers were temporarily seized by I.T. and wiped clean. The university has now issued a warning to all employees. If you're caught with downloaded music (from peer to peer servers such as Kazaa) you will be warned once. If you're caught doing it again, your job will be terminated, immediately.
Whether or not this is legal or not, I'm not sure, but I ain't going to be the one to find out. Paul tells us to submit to government rule, and Jesus tells us to give to Caesar that which is Caesars. I'm inclined to suspect that most peer-to-peer stuff is illegal, or takes advantage of a grey area. It is one thing to copy a CD and use it for personal use (to keep the original in pristine condition) or give it to someone you KNOW. It is another thing entirely to leave them on your computer for the whole world to see. The former keeps financial damage to a minimum, the latter can really damage a company/artist. While I feel little sympathy for some of these millionaires, it is their intellectual property that is being taken advantage of, and if this does trickle down, eventually we could all be targets.
So while I doubt it's a mortal sin, I've confessed to doing this and have stopped doing it. If I want to copy a CD, I'll get it from someone I know from now on.