Well, I suppose the main reason is that it's illegal. But so is borrowing a CD to rip it. So the only legal ways to own music are to own the CD (which makes it okay for you to have copies on your computer and mp3 player) or to buy them from places like iTunes (lame). But if you're really set on doing it the illegal way, I recommend the borrowing-from-a-friend option.
Just to clarify, I don't recommend doing anything illegal. I'm just saying that RIAA and other copyright organizations are getting wise to online file sharing. For example, if you keep all your music in your shared folder, it makes it much easier for someone to pick you out and say, "Whoa, we got a heavy sharer, here." That's why I always moved my downloaded files out of my shared folder, but if everyone did that, it would sort of defeat the whole idea of file sharing.