Is it legal to scrape data from websites using software ? The answer to this question is not a simple yes or no.
The real question here should be regarding how you plan to use the data which you have extracted from a website (either manually or via using software). Because the data displayed by most website is for public consumption. It is totally legal to copy this information to a file in your computer. But it is regarding how you plan to use this data that you should be careful about. If the data is downloaded for your personal use and analysis, then it is absolutely ethical. But in case you are planning to use it as your own, in your website, in a way which is completely against the interest of the original owner of the data, without attributing the original owner, then it is unethical, illegal.
Also, while extracting data from websites using software, since web scrapers can read and extract data from web pages more quickly than humans, care should be taken that the web scraping process does not affect the performance/bandwidth of the web server in any way. Most web servers will automatically block your IP, preventing further access to its pages, in case this happens.
Update: US federal court rules that web scraping does not violate hacking laws
Scrape Data Anonymously
WebHarvy is an easy-to-use visual web scraper which lets you scrape data anonymously from websites, thereby protecting your privacy. Proxy servers or VPNs can be easily used along with WebHarvy so that you are not connected directly to the web server during data extraction. Also, to minimize the load on web servers, and to avoid detection, there are options to automatically insert pauses & emulate a human user during the web scraping process.