Is this illegal or anything?
Unless there is a specific license that grants permission for you to copy the material it is copyright infringement, even if there is no copy symbol. Copyright is given to the owner of any content regardless if they claim it. They can however give that right away hence the licensing system. Creative commons is an example of something fills the gap in content people don't want to sell.
Fair use can be claimed by educational institutions prviding they don't reduce income from the copyright owner (eg photocopying a book and handing it to students)
So yea without a license, it's illegal.
You hit there server often enough their admin going to notice and first off block your IP, next they'll contact your host/ISP who will likely terminate your service. Then maybe you'll get into trouble but it'd be unlikely. You'll most likely get a take down notice.
Google steals content without permission all the time but they help website owners so who cares!
Do like Chazzy suggests. If the admin wants to share their content they may have an API already or may facilitate your request with a text or CSV dump. If they don't want to allow access then helping you would be unethical. Although that won't slow some people here down
Ask them to dump their data to a file you can access and parse. Then you wont be hitting their site repeatedly. Let us know how your inquiries go and if they provide a method of accessing their data, I'm sure someone here can help.