When a radio station broadcasts illegal or unauthorized contents, it is usually termed as pirate radio. Interestingly enough, there are a few radio stations that use sea vessels as their base for transmissions and they are also called pirate radio stations reviving the memory of pirate ships in the 17th and 18th Centuries. However, basically the term is used to describe illegal transmissions even if it is one of the free radio stations.

Such illegal transmission could be made for multiple purposes like political, entertainment, and also two-way radio operations that are not legal. At times the transmissions made may violate the copyright Act or the local laws prevalent in the area.  Divergent types of licenses are available in United States and Europe but if the broadcasting is unlicensed it is called pirate radio. There is no dearth of pirate radios among the radio stations on the internet.  

A peculiar circumstances may lead to deem free internet radio illegal if it is legal broadcasting at the place of origin but not legal at the place where it is broadcast. This usually happens when the signals cross the geographical barriers and go across the border of a country. Sometimes your listening to free online music could also be illegal merely because the transmission is not in the approved format when it fails to provide station identification. As a law abiding citizen you should take care to avoid these stations.