Its exactly the same as chipping your playstation and downloading and buying cheap games - its illegal.
Cydia and jailbreaking just opens up the file structure of the iPhone so that you can change themes etc and install apps from 3rd party dev's that arent available through the app store.
Its not a problem, if you choose to do it, then thats your decision, however, I would ask you to be a little more careful when posting, as you shouldnt refer to these downloaded apps