Limewire, Kazaa Lite, Shareaza (is ok, not a lot of music though) are all good. I think LimeWire is best though.
If you go into the network settings on Shareaza and enable Gnutella 1 (you may also have to force Shareaza to go searching for G1 hosts) you'll be able access to access all the files that you can through Limewire (Shareaza can connect to Limewire and BearShare hosts and share files with them) Shareaza also connects to eDonkey and can be used as a BitTorrent client. WinMX is something entirely different, hasn't been updated in a while but isn't a bad program for finding stuff that you can't find on Shareaza.
Also, it's not the actual program itself which is illegal but the sharing of
copyrighted files which is illegal. (oh and btw, for the attention of UK users, the BPI - British equivalent of the RIAA - and I think FACT - Federation Against Copyright Theft - are trying to crack down on this, as authorities are across the EU, for the attention of users in the Netherlands)
It's rather like smoknig cannabis with a bong (outside the Netherlands
) Shareaza is the bong - perfectly legal to have one of them, I see them in market stalls all over Newcastle, the copyrighted files are cannabis, possession of which is illegal.