What do you want do hear here? Yes, you will get some juice but also you will get statements to the police.
No, nothing about link building is illegal, it is just against googles webmaster guidelines, google has NO AUTHORITY over the law at all whatsoevery, I break every damned google webmaster rule there is and it would be perfectly legal. But once you start hacking websites to get links, or hack websites for any purpose, then it has become illegal, not because google disagrees on it, but because it is seen as cyber crime and is illegal in most countries if not all of them.
All that @Helge Sverre said, but also in the context of Google they look at where the links are coming from and they will know a hacked site when they index one - do you want your site associated with hacked sites? I guess you could use it as negative seo and leave links to your competitors - anyone who would exploit a hacked or hackable site wouldn't mind doing that.
Link building is illegal if you don't respect Google policies. Stop selling or building links and start offering solutions and listen to people!
illegal - is something against the Law of the Government. I paste my site link on my twitter profile, it is link building.
It was a metaphor that I used just to strengthen the obvious antithesis! I should've used quotes! Sorry!