There is some confusion about just how illegal it is in the US. The EULA does not permit it, but that isn't the same thing as it being against the law - especially since the EULA is presented post-purchase. (This assumes you bought your copy, of course.)

Still, until judgement in Apple vs Pystar (which is slightly broader) it would be better not to assume anything. Common law systems can produce some funny results and special cases. Just because you can drop a Ford engine into a Toyota without fear of legal action doesn't mean it carries across directly to software.

Being able to use software you buy however you wish with very little fear of inciting legal action is a great argument for adopting Linux, of course :)