Yeah to be a complete buzzkill here, hotlinking is
not illegal. It's also legal to *gasp* give a link to another website so you can go there and see their information.
When you image-link, all you're doing is accessing just one part of their website. Their public, anyone-can-see-this-anytime website.
The moral question involved here is whether it's okay to use their bandwidth to look at just the image, without loading their advertisements. It's an assumption that they put the image and article up because they knew they would make more money in ad revenue than they would spend in bandwidth fees.
That said, CNN.com took the story and image wholesale from other news sources. One might argue that they deserve no profit from it because they didn't create it or pay anything for its creation. The Associated Press, which wrote the story, is a not-for-profit organization dedicated to news gathering and distribution. So effectively CNN.com is turning their virtuous labor into money for themselves.
I say the moral grey area here is pretty slim. Hotlinking small public files from news-leeching sites like CNN.com is perfectly fine. Hotlinking 4 mb videos from the Audubon Society website that they originally produced is probably not a nice thing to do. But it's still not illegal.