You could probably find a cheap copy of a legit Win95 disk on EBay somewhere....

A retro box, usually. I have an old P1 with Win 95 on it, has an ISA soundcard and a basic old Voodoo accel card.

but in order for it to work, you literally have to have that retro box, running win95 on a newer machine is near impossible.

Don't remind me., I tried. :(

Obviously it's illegal. But the only ethical problem I see, is in the question of why MS (and everyone else) don't let their stuff go after more than a decade.

Thanks, I just wanted to spark some conversation, very valid answers.

If MS no longer sells or supports it, and as it is no longer secure... i wouldn't lose a lot of sleep over it. However I've seen licenses/cds selling for around $1 in loads of junk stores around town.
I'm guessing you want to run it in a Virtual machine? I was thinking of the same thing... though I DO have several windows 95 CDs somewhere, plus some ME and XP ones, but i think the older ones are all in another country.
So how about if you already have a license, but can't get to it? Make it ethical?

Legally it doesn't matter if you download Win95, if you have a license for each copy you have installed. Keep in mind that you don't buy software, you buy a license to use the software.
As for ethics... even in MS's back yard I doubt you'll find many people who care if you're running a copy of Win95.
Personally I say go for it, but then again I've always lived in the grey area of the law. (Hey I get paid to see if I can break into networks).

Go for it.
Ethical and Microsoft goes hand in hand, like caustic soda and marzipan anyways, so you won't be doing anything worse than them.

Legally, it is absolutely a grey area. The reason it's a grey area, is because infringement claims MUST be brought by the copyright owner. The DOJ will not bring charges on their own, and has literally said as much. (The MPAA even tried to lobby Congress for the DOJ to become copyright cops, and the DOJ filed a brief with congress that they had no desire to do so.) So it is only illegal, in practical terms, rather than theoretical imaginary terms, if there is a copyright owner that wishes to enforce their copyright. So abandonware in general is only illegal if there is a tangible chance that a copyright owner will appear out of the woodwork and charge you with infringement.
You can say "but that is against THE LAW" (in deep booming voice). But imagining something is against the law doesn't make it any more illegal in practical purposes.
As far as Windows 95, Microsoft does still exist and has a large team of lawyers. But I doubt Windows 95 copyright enforcement is their biggest priority. Honestly though, if you really wanted to run it, you can probably find an unused license pretty easily, and free or close to free.
EDIT: The above is based on US law, and may not apply in other countries. But I doubt the governments of other countries will bring copyright claims on their own either.

Legally it is not a grey area. As long as someone somewhere holds the copyright to a specific work it is illegal to distribute it without their consent. Just because they don't defend their copyright it doesn't make it legal.

Aren't you little angel... So you never jaywalk, never download a pirated software/movie/music, you don't listen to songs on youtube, never threw a piece of paper on the grass?
If yes then good for you man.

The real question we need to ask, is are you just downloading the media, or are you downloading the CD key/license as well.
If you have a license for Win95 but lost the discs it's a real grey area but I don't think anyone will go after you for getting an ISO of Win95.
If you don't have a license then it's technically illegal but I'm not sure anyone will go after you for Win95 anyways for personal use.

"Abandonware" is a propaganda term by people illegally copying and sharing old games to justify themselves. There is no grey area at all. It's illegal. Just because no one's gonna come get it you is beside the point. I can J-walk and it's still illegal even if nobody's around.
HOWEVER, like my J-walk example, you might go ahead and do it. For one, no one will care or get hurt.
Secondly, and more importantly, ethically, chances are you've probably bought or owned a license for Win95 in the past. It's still illegal to get a new key you didn't pay for, but imo it's the same difference, it might as well the one you used to have.
However, if you DIDN'T ever own a copy of Win95, I don't think it's ethically ok because it's not essential to your survival.

In practical terms, it does. In order for something to be illegal, there has to be a non-zero chance of enforcement of that law. Otherwise it's all theoretical.
EDIT: Let me put it another way. Copyright is not some natural law that is simply the state of things. It is a legislative monopoly granted to an individual to be the only one to copy and distribute a creative work. If that individual no longer has any interest in that work, that legislative monopoly is no longer relevant. And, in fact, it really is up to the copyright owner to enforce the copyright.