I use the itunes website, upload them to my ipod. I also have a napster subscription, 10 bucks a month allows me to listne to a very large assortment (not all, though) of music. I've never actually bought an individual download to beable to burn to a CD. Everyhting get's put on my Ipod MP# player and played through my jvc headunit.
It "can" get costly, but when I add up discounts, etc, etc.. it comes out to about costing me 7-8 bucks for a full 15 song albumn, and they are just as clear, if not clearer than CD's.
Totally beets the crap out of most of that "illegal sharing".