It is not illegal to borrows someone else's legitimate copy of a game.
Actually it technically is, Or at least was.
Please show me the law which states that allowing my friend to play my PS3 game is illegal.
Technically it is illegal to lend, borrow or make copies of games.
You don't "own" it. You own the software license to play it. It is against the EULA to lend the game to someone. Letting someone borrow the game forfeits your right to the game. If the company catches you, they could take legal action.
Couple quotes from others on it, I'll try to find the actual law somewhere, or if it's in the EULAs for games rather.
EDIT: Okay the way it works, is most games today are sold with EULA's or other license agreements, and while on the PC you usually have to click to accept them and such, for console games, they are in the manuals so you technically buy and accept them before even reading and knowing about them which is also technically illegal but It's all gray for now. Opening my copy of 360 Black ops the Software License Agreement states
LIMITED LICENSE USE: Activision grants you the non exclusive, non transferable, limited right and license to use on copy of this program solely and exclusively for your personal use. Your license confers no title or ownership in this program.
It depends on the license to see what you can do.