If you like the convenience of iTunes, but want even more for your money ($1.50 for a complete album on average), and you don’t really care about artists getting paid, I recommend AllOfMP3.com, a Russian music service that has tenuous claims to legitimate legality via Russian copyright law. For more info, ask Wikipedia.
Personally the only reason I pay for downloading music is to clear my conscience of charges of thievery from artists I love. Here I’m not so confident in the accurate tracking of royalties. There’s only the thinnest veil of legitimacy here. Still it remains, for me at least, a convenient and semi-legal way to find and download mp3’s (lossless files available as well) by album. As an added bonus, Russia gets many of the CDs that the US doesn’t, so it’s good for digging up weird Hungarian Zappa bootlegs or live Tommy Bolin shows or Massive Attack singles. Watch out for their alphabetization – sometimes it’s first name first. And there are a lot of artists listed under “The…”