IANAL but I would imagine that DRM per se isn't illegal but any anti-circumvention clause in the EULA would not be enforceable in a court provided that copies were made for the purposes of backup.
Not so fast. Anti-circumvention laws are everywhere, we aren't talking about EULAs here.
The DMCA act in the USA prohibits DRM removal, under all circumstances, even if we are talking about your own content for which you own the copyright.
In Canada bill C-61 also made DRM circumvention illegal. In Europe too. It is unclear to me how these fare to the DMCA, because it might be that only providing the tools and information for doing that is illegal. But in Europe, even if we are talking only about the tools being illegal, if you end up removing the DRM protections from some content, it can be argued that's changing the format, which is a different thing but also illegal.
It is worth pointing out that pieces of software, like CloneCD [1], are illegal even in Europe, even though this software only makes exact copies and does not change the format (it does not remove DRM).
And the US, being the 800-pound gorilla that it is, is constantly pushing others for copyright reforms similar to the DMCA.
Also, whenever you're talking about "fair use", you're always in a gray and dangerous area, as fair use clauses are intentionally ambiguous, so sentences are passed based on subjective reasoning based on context and in the US on precedents. If fair use is your defense, then more often than not you're screwed if you can't afford competent lawyers.
I meant specifically norway (though admittedly I don't know what the law actually is there) but the GP suggests that the law allows one to make backup copies of your files.
Norway is not an EU member state, so normal european laws will not necessarily apply there.
Here in the UK I'm not aware of any specific laws that would make owning software like CloneCD illegal, though it could be used in ways that might be considered illegal.
Well, the situation might be different within members of EU, as EU directives are more like agreements for achieving an end-result, without specifying exactly how the law must be implemented locally. So for instance fair-use clauses might or might not hold.
What I don't like is that the US has so much leverage that they are able to efficiently push dumb and evil reforms (e.g. ACTA) and the representatives of many countries simply sign agreements without blinking or thinking about it.