From what I've read and understood, it is not directly illegal, but if someone gets a program running for it that allows you to play burned/pirated games, you could do something illegal. I suppose it is also possible that your Wii could be bricked from an update, but I would hope Nintendo would look more into a way to forcefully remove it from your system instead of dealing with all the people they'd make upset with bricking systems.
I just decided to give it a try this past week. There are a few interesting and fun homebrew things to do, but a lot seem to still have minor issues/be in beta stages. It can still be fun to give it a try. I didn't find it hard and there are fairly comprehensive guides online that can explain how to do it. In case you didn't know, the homebrew applications are loaded onto the SD card, so if you don't currently have an SD card for your Wii, you'll need one in order to make much use of the channel.
