Illegal Question:

First and foremost, avoid reacting in a hostile fashion - remember that you can always decide later to decline the job offer. Your goal during the interview is to try and get the job offer.

Response 1:
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Go ahead and answer the question. If you don’t feel uncomfortable and you think your answer is in your favor, why worry? Go ahead and answer the question and make no mention that you think its improper or illegal. Just remember that you run the risk of harming your candidacy if you give an answer not favorable to what the interviewer has in mind.

Response 2:
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Refuse to answer the question. You are within your rights but in a delicate and sensitive area with regards to the potential job offer. You can say politely that you don’t feel comfortable answering the question and ask to move on. You may even want to mention to the interviewer that the question is illegal and doesn’t pertain to the job. The key here is to be as tactful as possible. But keep in mind, you may come across as confrontational or not a "team player" in the eyes of the interviewer.