When you pay 99 cents a song or $9.99 an album on an authorized online music store such as iTunes. That's the only place I've downloaded music since the early says of Napster (which was stealing).
I've started getting almost all of my music (except for some of my very favorite bands like DMB, Modest Mouse, etc.) from eMusic, and I love it. Most big labels don't allow music up there b/c it's MP3, so it's a lot of independent stuff, but I don't miss the big labels at all. There's no more guilt of buying from the RIAA, and I've found lots of incredibly fantastic music there. Plus, it's all in MP3, which rules! I love it!
Well, won't using Limewire, etc. technically be legal if you're downloading the songs to put on a Zune? I mean, the license fee is paid by Microsoft and presumably built into the price consumers pay. If they're being paid, then it's not stealing.