Ki turned me on to Grooveshark which is pretty damn good, though a lot of the more obscure stuff isn't there.
The site I use for buying music, megaboon.com, allows you to hear about sixty seconds of each track before buying. I know that's not a lot but hey it's better than nothing. Plus the albums are about eighty cents to a dollar. Hell of a lot better than itunes...
As for downloading, well as you know torrent info aint allowed here, so PM me if you want the skinny...
Don't forget YT either: lot of full albums on there.