Downloading torrents is the best.
Download Bit Tornado and install it.
Search for what you want at isohunt.com or torrentspy.com and download that file's torrent (very small in size).
Open the torrent file in Bit Tornado and it will begin to download what you searched for originally.
This is the quickest way of downloading full albums and you'll find the most variety on the two sites I mentioned. However, they both also have video, software, etc.
For induvidual songs, though, I use LimeWire. Don't install v4.9 though because they make it crap until you buy it. I found v4.8 by doing a Google search and it works great. Just don't update it and you're good.
Hope that helps,