Depends who you're talking about, but there are several options.
Some sites actually send people to events and get their own photography. There are also services that do licensing for this sort of thing. Off the top of my head, Getty Images is obvious, and the Associated Press has a separate dedicated image service, as does Reuters. There's also WireImage, which at the lower-level plans will be within the budget of even comparatively casual bloggers.
A service called PicApp used to have a setup with wordpress.com to give its users access to their imagery, but they're now defunct.
Questions of legal implication can't really be addressed without specific examples, obviously. Someone misappropriating images owes money/credit to whoever owns rights to them, end of story. Any other case requires considering the terms of use/licensing behind it.