Copying games is illegal, but there's very little chance you'll get punished for it. Plus, it's extremely easy to do for the Dreamcast since there's no need for a mod chip.
Personally, I'm against piracy in general... but I do have a handful of burned games. All of them are games that I haven't been able to find, or were exhorbitantly expensive when I did find them. I plan to get replacement "real" copies eventually... and personally, I feel that any game that wasn't released in North America (Like Rez, Shenmue II, Super Puzzle Fighter II Turbo, Capcom Vs. SNK 2, etc) is up for grabs. If Sega won't allow me to buy it, then I'll just take it.
It's also the only way you'll get Half-Life for the Dreamcast. Oh, and in case you didn't know about it, there's some pretty interesting stuff over at
this site. It's surprising what people have been able to make this machine do.
--Zero