I use Kazaa. They have a pretty extensive legal policy, and I certainly haven'ts seen much (if any) copyrighted material being bandied around on there, although that may largely because I haven't gone looking for any.
As I understand it, the law is this - the file-sharing software is perfectly legal. If you use it for illegal purposes (the distribution of copyrighted material without licence, for example, or the downloading thereof) then it is YOU who are liable for any punishment.
Basically, it's legal so long as you do nothing illegal, see?
Downloading copyrighted material such as commercially available music = piracy and copyright theft, and so it is illegal.
To summarize - you can put up your own music for other people to listen to, and you're free to download original works by other users, and any material that is already freely available on the internet is also fair game. But anything you have to pay for is a no-go area without payment.
If you really want to "try before you buy" with music, or just want to get a better deal, might I suggest either Napster or iTunes? That way, you know that everything you get is legally solid and you're not risking a trip down the local cop shop with your PC in tow.
better yet, many record stores (chains such as MVC in particular) will have headphones and players set up in-store that will allow you to listen to the music for free and decide then wether or not you want to buy it. I availed myself of that particular feature yesterday, in fact.