If someone can point me to a list of illegal characters I would be very grateful.

Well, whenever you try to create a goofy file name in windows, it shows a dialog box saying that you can't name a file with the following characters:

\ / : * ? " < > |

The reason is that these all have special values when used at the DOS command line. For example, a backslash is a directory separator, a forward slash indicates a parameter, and the vertical bar is the pipe command.

The biggest problem I have know is that I've just burnt 9Gb of mp3s onto CDs ready to transfer onto my empeg and loads of them are gonna have illegal characters - I just wasted another weekend!

Not if you burned ISO-9660 compatible CDs and didn't override the filename restrictions. By default, ISO-9660 filenames can only contain letters, numbers, and the underscore character. This is to prevent just this sort of error. The reason it's so restrictive is that they're not just targeting mac/windows compatibility, but Unix, Sun, etc. They wanted to make sure that all files worked on all systems.

What illegal characters would have been in your file names?

-- Tony Fabris -- Empeg #144 --
Caution: Do not look into laser with remaining good eye.