Collect personal info etc.... Thats why you should make sure you know what your installing before just installing random stuff. Especially doing things like adding repo's to cydia, make sure its a safe repo before adding it.
Installaous isnt technically illegal
How u use it can make it illegal
It's like having a bit torrent client on ur computer
Repo is a repository
It's a site where all a bunch of apps, mods, tweaks, etc. are located