Never heard anything about web scraping being illegal, some sites don't like it and if it's a lot of info and badly coded it can appear like a DDOS attack though. I've written a few in Python, always great fun as I do it all from scratch instead of using prebuilt packages.
OP, what are you looking at comparing? It may be easier to pull the info then store it on your on DBase so you don't have to go off trawling for it each time.
Some websites won't like it because they will appear more expensive. They will detect the scraping script from things like timing behavior and will block the IP.