No, it's not illegal.

Music

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

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

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

Hard to find stuff at
[Link] Fur Affinity
[Link] Inkbunny
[Link] Weasyl

Other
[Link] Cave Story OST

Games

Installable
[Link] Free PC Gamers

MMO
[Link] MMOHuts

Flash
[Link] Armor Games
[Link] Kongregate
[Link] Newgrounds