I've never used any of the illicit services due to concerns about the quality and all of the junk that seems to show up. I tried Gnutella and Limewire but they both were a complete pain to use and I didn't have the patience to wade through the results to find what I wanted.
The iTunes Music Store, on the other hand, is an absolutely frictionless shopping experience and is completely delightful.
You can even find some bargains, too. For example, the old Firesign Theatre album "Don't Crush That Dwarf, Hand Me The Pliers" for only US$1.98 since each side is a single track.
That plus "Nick Danger" (another $0.99 22 minute track), my Firesign jones is satisfied.
I've also found that there are more selections than are shown on the page. If you use the iTunes search box (or the Power Search) you'll pull up albums and artists not listed when simply browsing through the various genre main pages.
(I had to watch the Webcast to figure that one out.)