I use MusicMatch. I buy a yearly subscription, but you can do monthly, which is $4.99 i think. You have unlimited access to any and all music. You can send music to portable devices(like ipod), cd/mp3 burner, artist/era radio(similar to XM radio), and more.
You can email your playlists to anyone, even yourself, and play them on a different computer... for free.
Downloads arent included, but you can pay .99cents per download and get them that way. I rarely ever download them, as they are free through your subscription. I dont ever use a regular stereo anymore, with a nice speaker system hooked up to your computer, it is great.
I just use the cd's I do have to burn mixes to play in my car and I use XM radio.
It works really well for me, but may or may not be what you are looking for.
There is more good info here: MusicMatch