If you are going to use a peer-to-peer, I use Kazaa Lite which includes no spyware. (I was looking for it recently and could not find it, so I'm not sure if it is still out there somewhere or not.) But it works with the Kazaa "network".

Tip - Don't share - so far they have only went after users who also share their downloaded music with others. (NOTE: Other users don't like this, and some will not share with you if you also don't share)

One thing I download are live concerts and other acoustical song - songs that usually CAN NOT be found on a CD at any local music store. (My own rules is if I can go to the store and buy it, I should not download it.) Many artist are OK with people trading "live" non-album music.