I use the old version of Kazaa Light...but you can't get it any more. I'm not sure how good the newer versions are, but i'm happy with my old version/ Also I have a TON of music programs on my computer along with huge amount of music software (I was a Music Industry major for a while there- so I have tons of music stuff).
I use iTunes, but my sister swears by Limewire. She used to use Kazaa and it filled her computer with spyware, adware and viruses; I've really heard nothing but bad things about Kazaa. I know several people IRL who use Limewire and are very happy with it, but I'm not sure how it works from an ethical perspective -- you don't pay for your music like you do with iTunes.
Well, a bunch of my friends collectively got together and ripped all their CDs to a private server (that stays OFF line so we aren't pirates) that we use to share our music. If I can't find something there I use Rhapsody. I think I got a free month w/ my MP3 player and they're pretty good. W/out paying you can listen to music clips and purchase songs or albums. W/ a subscription you can get streaming music and only have to buy if you want it portable.
I've been playing with Pandora.com all day at work and I LOVE it! I get so tired of hearing all of the same songs over and over on radio stations and even online stations. These guys have new music, and play album cuts to the artists that you've indicated you like. I'm definitely hooked!
I've purchased from I-Tunes and have been pleased with it. I also have an account at Rhapsody. With the free account I can listen to 25 songs per month. I've never purchased from Rhapsody. I've also ripped some of my favorite CDs to my computer. I alternate listening to those and to the music I've downloaded.