Depending on who you're into,
this website has loads of live concerts available to download. There's some really great artists on there, and unless something has changed, all the bands and artists there have given permission for these to exist so it should be legal.
Granted, it doesn't have music from anyone you can imagine, but it still has a good selection, I think. Of course, my taste in music doesn't particularly represent what the general public listens to these days...