* You need to be a registered student: While some universities might allow auditing (unregistered attendance) of certain classes, generally attending lectures requires being enrolled in the course or having explicit permission from the professor. Unauthorized attendance could lead to being asked to leave.
* You must follow university rules: Universities have rules about conduct and behaviour within their buildings and classrooms. Violating these rules (e.g., disruptive behaviour) could lead to consequences.
* Copyright and recording: Recording lectures without permission is often prohibited, and could be a violation of copyright law.
In short, attending a university lecture as a registered student is perfectly legal. Attending without permission or violating university rules is not.