It is not illegal to lend music movies etc. One is even legally able to copy a certain amount of a song or move. (see:
http://www.copyright.gov/title17/) (This is even Blockbuster's or a library's business.)
I don't copy music for friends, or download software illegally. I just don't. Nor will I just because the guy down the street does it. Your actions do not affect my behavior. (To be clear, I have done some of that before I learned that it was illegal, but choose to not do that currently)
So with magic books and DVD's, it is by no means illegal to lend or to sell them.
Is it ethical? Well, as mentioned that depends. If you are not using it and you go to a swap meet and you trade it or sell it to another magician, then I don't see any harm in that. But remember that the material is trade secrets and ideas, so because the government cannot set laws up to protect that, we must mentally set up our own guidelines/laws and live by that. We can't forget that there is more at stake than an artist's paycheck.