If you want to pay, iTunes or Napster. If you want illegal, Soulseek is good for obscure/hard to find albums (and you can download entire albums at once). Limewire is good to, but more for individual songs. Torrents work well, too.
Another cool way to find music is to type "?intitle:index.of? mp3 bandnamegoeshere" into Google and it'll search for any unprotected indexes of music. Sometimes people will post entire indexes of all the music on their computer, but a lot of it is downloads from MP3 blogs, band websites, etc.
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