Hi,
The question of music legality and copyright is very complex and varies from country to country and can also differ according to the release date of the music. Basically it's legal in Russia, the US, the UK (unless there have been some new laws enacted) and in Australia, but is illegal in a number of European countries who have introduced specific laws. As suggested by others there are some excellent threads on legality in this forum and most stores have details of their licences on their websites. Note that the US and the UK do not have authority to issue licences in Russia.
Why is iTunes more expensive? Because they, and the music companies enjoy huge profits thanks to uninformed consumers.

Out of your $1 for a song the artists and songwriters only get about 13 cents or less. An interesting fact about royalties on digital downloads is that, in most cases, on top of it's own cut the record company takes 25% of the artists royalty for "packaging" - and of course there isn't any packaging on an MP3 file.
I regularly use 3 of the Russian/Ukranian music stores and did also use
MP3fiesta until they jacked up their prices and one person here at work also uses a 4th store. One of the stores I've been using for over 3 years. Never been ripped off or had any money problems with any of them - except for finding ways to top up my balance sometimes. And I'm often impressed with how helpful some can be. Read the music shop reviews in this forum (as suggested) to see which will suit you best and heed the advice of the senior members regarding which sites to avoid at present. There are also many excellent technical threads on this forum.
My advice would be to go for it and enjoy, enjoy, enjoy.
Cheers,