Well, I think the difficulty issues of creating a private server outweighs the legality issues. Of course its illegal, but its not like you can use it to your advantage for online play (cant transfer chars or items or anything...you are only scrwing Blizz out of their monthly fee). I tried creating a private server for rose online when I was angry at them for deleting everyone's player accounts during a server reset...found out it was a little more difficult then imagined. I'm sure WoW is no different.
-VGsatomi