Kazaa might be good for the time being, but the network can easily be shut down since it's download and search success depends highly on supernodes, whose presence by nature creates a more centralized network. This type of network is easy to cripple and shut down.
Also, Kazaa is planning to start charging users for the service. If Kazaa is not shut down, it will most likely become a puppet for the RIAA and be no less expensive than going to the store and purchasing an actual music CD or whatever it is that you want.

Also, the following is a quote from Cnet downloads:

"Editor's note: This download includes additional applications that are bundled within the software's installer file, some of which may be provided by parties other than the developer of this download. These applications may deliver advertisements, collect information, overlay content or graphics on the Web site you are viewing, or modify your system settings. As with all downloads, CNET recommends that you pay close attention to the options presented to you during the installation process. Known third-party applications bundled with this download include TopText, Onflow, Webhancer, and New.net."

If you would like your privacy completely alienated, by all means, install this software.