Do you want to be legal or less legitimate?
Legally (you usually have to pay for the music), places like Napster and iTunes are the biggest, but you can also download from Tesco, HMV, Amazon etc.
Less legally, there are a lot of "file sharing" sites, where people who own the music share it with other people for free - these sites are often where you can pick up nasties on your PC, and also the software allows others to "see" your hard drive over the internet so increases the risk