"Unlocking" your wii is not illegal. You can do just about anything you want to a device. However, if you buy/sell pirated material, that is illegal. Does unlocking probably void your warranty? Yes.
You might also block yourself from being able to get online with your Wii. I've also read that system updates could brick any unlocked/jail broken systems so its completley unusable
Depends on what you do with it. Unlocking your Wii in any regard voids your warranty, and be sure to do it right, otherwise you'll brick it. Unlocking the Wii to play pirated games/ROMs/etc is illegal, however.
As people said, yes, it's completely legal unless you start using it to pirate games. it's also legal for nintendo to release system updates incompatible with your modded system, that may end up bricking it. They have no obligation to make sure anything they make will work with any unauthorized user-made software modifications.