Yes and no. Any changes to the .exe would be illegal, same as circumventing DRM copy protection. There are private servers for many games, such as World of Warcraft, although they more often than not suffer from bad server or servers that cannot keep up with the resource demand. The legality of such servers is still a grey area though, Blizzard hates them since they 'lose' money to them, and they, iirc, are against the EULA of the game.
I agree subscription fees are stupid, but none of these games are either interesting and/or good enough for me to even bother checking them out anyways.