yes yes, stealing is wrong, and that's why we shouldn't download any illegal material but there are certain laws that everyone seems to forget when mentioning file-sharing, and this leads to giant "Kazaa== teh i113g41!!" bru-haha's:
1. If you download a ROM, and do not actually own the software for it (disc, cartridge, etc.), you legally have exactly 24 hours to use it as a "trial period". The FBI can bust down your door one second after 24 hours is up, but no less.
2. If you have bought the product before, or lost it, you may technically download that software/video/whatever from whatever location you choose. By purchasing the product in the first place, you signed the EULA, and therefore you can obtain those materials whenever/wherever you want, UNLESS YOU SELL IT!! (E-bay, amazon.com, etc. Downloading software multiple times and selling them is clear, blatant copyright infringement, and will get you in SERIOUS TROUBLE)
Basically, if you bought it before, and haven't sold it or willingly given it away, you can download it as many times as you want. I have several ROMs, MP3s, etc that I have downloaded online, but they are perfectly legal since I bought the original product. If I start selling copies of it, I'm breaking the law. Otherwise, I agree that this is a sin.
This brings up another question, though: If a company cuts support for their product (customer support, etc), can you legally download it without buying it? After all, the company broke their end of the EULA, so why can't you?