Using Free (Open Source) Software is always a better idea but there are circumstances when you may need a non free CAD program for example. At this moment (Jun 28,2008) 1.00 Euro costs 1.57 Dollar. Except for planning trips to the states (oh, yes, take an empty suitcase with you to fill and help the American economy) it is interesting to buy software in the States and use it in Europe.
Is it illegal?
No. You may want to say: "What you buy is a license and where you buy it doesn't matter now that the internet made the world so small." True!
However the situation is a bit different. In Europe there are exclusive distributors. For the party where you are buying from in the US it is probably prohibited by the vendor to deliver straight to you. Of course this is to keep it exclusive. Here comes the nice part: This violation is not your problem but a problem between your supplier and the vendor. But you will understand that finding a supplier willing to ship to Europe may be difficult.
An alternative
Suppose you have relatives in the US. They may be the receiver of the postal package and send or upload it to you. Many suppliers will ship to a US address no matter where the money comes from. This doesn't change the principle and it remains a vendor vs distributor issue.
Caveats
It may be a problem to authorize a product, those smart asses may look at your IP number and conclude you are not in the US, no authorization!
References
Dutch legalese article about (parallel) import from the USA: http://www.euronorm.net/content/template2.php?itemID=2151