http://www.allofmp3.com all the way...!!!
It's sooooooo much cheaper than anywhere else online (that I know of anyways) and as already said, no DRM protection to make your life a misery, and there's loads of different file formats and quality levels you can choose when you use their online encoding service, including lossless formats! - makes me very happy
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Allofmp3 also provide a free 'allTunes' application which you can download and install, which, like iTunes, allows you to search, preview, purchase and download songs from their site through the application itself, without having to use a web browser.
As for whether the service is legal or not, currently as I understand it, a loophole in Russian law allows the operations of allofmp3 to be classed as 'legal' (however whether the service is legal to be used in other countries is not clear and is in dispute, and allofmp3 have stated in the disclaimer that, quote...
http://music.allofmp3.com/help/help.shtml?prm=legal&rnd=841248#top
'The user bears sole responsibility for any use and distribution of all materials received from AllOFMP3.com. This responsibility is dependent on the national legislation in each user's country of residence. The Administration of AllOFMP3.com does not possess information on the laws of each particular country and is not responsible for the actions of foreign users.'
Some organizations such as the IFPI and BPI believe that users who use the site break copyright law. Allofmp3 have already embraced legal pressure.
...But, for UK users, there's some comfort as the BPI have stated:
"We are going to seek a judgment not against the users of the site, but against the site itself."
If you want to read up on more info, check out
http://en.wikipedia.org/wiki/Allofmp3 and some fresh news from ars technica:
http://arstechnica.com/news.ars/post/20060906-7676.html .