(Here goes for the second time after I was logged out and lost all my text!!)
Yes, I believe it is illegal in this country although I agree that listening to R/T is useful in gaining confidence away from the aircraft. It is particularly useful if you don't get to fly that often (such as those of us that aren't lucky enough to get paid for flying!)
Things start to get a bit sticky if, for instance, you were to hear something "newsworthy" and pass it on (particularly for profit).
Listen to an appropriate frequency on the radio, such as your local airfield, rather than the airways frequencies. Try to critique what you hear. Bear in mind that if you are making a request to an ATCO then he/she has to have confidence in your abilities before granting permission (within reason). Very often they judge this ability by how competent you are on the R/T.
Good luck, and happy listening!