We are using napster, which is £10 per month for as much downloading as you want. There are two catches: 1) the music only comes in WMA format, so you can only listen to it on your PC 2) when you stop paying the Napster subscription, the tracks you have downloaded lock up and you can't play them any more.
Now I have heard that there are programs you can buy on the Internet that enable you to remove the above protection, but I know nothing of these.
So far, they have had everything I want available straight away, except Metallica and the Beatles.
I second MegBusset on this one. Spotify is amazing and more to the point free with the only download needed is for the application itself. Only downside is ghe fact that every so often you get an advert which isnt a problem really.