(1) Downloading music which is not paid for, not promotional and which is copyrighted is illegal
In some countries, not everywhere.
whether you consider it 'moral' is something else entirely, but there are plenty of places where it's completely legal to do so. The RIAA is the Recording industry association of AMERICA, and has no jurisdiction outside the US, so none of their rules apply there either. Each country has their own laws that cover this, and some are singificantly more permissive than others.
As a matter of fact, I just ran into this tidbit earlier: The French courts have just ruled that using peer-to-peer networks (P2P), providing you are doing so for personal rather than commercial reasons, is legal:
http://www.audionautes.net/blog/index.php?2006/02/07/69-french-judge-authorizes-downloading-and-uploading-of-copyrighted-content-on-the-internet
Note that they ruled that it's not just the downloading, but also the uploading that's permitted in France.