The iTunes Store is a huge winner when it comes to downloading legal music, but it comes at a cost. Songs typically cost $.99, and full albums can come very close to the price you see in the stores. When you consider that you can only play the songs you buy on a limited number of computers, the prices seem mighty disappointing.
Rhapsody is a subscription service. You pay a monthly fee, and get access to as much music as you want, whenever you want. It also offers personalized suggestions based on what you like, just like Pandora. The problem is that you don't own the music - you just listen to it through their site, or through a compatible home device - meaning that you can't put it on your iPod. Super lames. They do sell music, but it's the same price as iTunes. McLamester.
Similar programs: Yahoo! music,
This is a Russian download site that, when it's working, offers downloads for super low prices, like $.20 per song. It's fairly unreliable, however - the payment processing is always weirdly hard to find - which may leave you wary of low-priced, legal music.
Limewire is a free bit torrent downloading service, similar in function to the old Napster. It doesn't contain any spyware or adware, and has a filtering system to try to weed out the bad stuff. The basic version is free, while the PRO version sells for $21.95. But be careful! The RIAA is keeping track of what's going on, in their own Big Brother way.