[mousepod]

Your choice depends on two things:
1 - Your mp3 player
2 - Your moral feelings about downloading

If you want to be 100% legal in the eyes of the RIAA, the two biggest options are the iTunes music store and Napster. If you want your downloads to be portable, and you have an iPod, you'll go with the iTunes music store. You pay around a buck a song, and once you download them, you own them for all intents and purposes. There are constraints, but not enough to make a big difference. You should understand that music downloaded from the iTunes music store is in AAC form, not mp3. If you have a music player that's not an iPod, you might want to look at Napster, which offers a subscription service. Basically, you pay them a monthly fee and download as many songs as you want to your computer/music player. You can't burn the songs to CD, as with iTunes, but otherwise, you can still enjoy them. Once you stop paying the fee, however, the songs lock up and you can no longer play them at all.

If you want to be technically legal but don't care about the RIAA, there are a bunch of mp3 download sites based in Eastern Europe (mostly Russia) that will allow you to download music in mp3 form for a ridiculously low price. Suffice to say that they're probably not paying royalties to anyone. However, attempts to have them shut down have not worked, so you're not going to have Johnny Law breaking your door down...

If you don't care at all about copyright laws, or think that the system needs to be based on a more realistic model (I'm not taking sides in this post) - there's always torrent sites and, of course, usenet.