Although it gets expensive shopping on the iTunes store (99 cents per song, $9.90 for the average album), I'm getting to love it for its selection and the seamless integration with my iPod. Besides, I feel a lot more comfortable that the artists are actually seeing some of the money I'm paying for their music. Granted, I miss paying something like 2 bucks for a full album, but I never knew if AllofMP3's "legal" explanation really panned out.
Nice thing is, if you hate DRM, all you have to do is burn songs to music CD format, rip them back to your computer with a third-party CD ripper, and... poof! No copy protection. Play 'em in whatever player/device you want. When you like the kind of music I do (fairly obscure early-music ensembles, choral music, etc.), selection matters, and so far iTunes has come through for me where most other sites haven't.
(I actually make use of all those music CDs that I wind up with from my DRM-removal technique, but if you don't feel like depleting your CD-R collection, just Google "DRM remover" or something similar and you should wind up with a bunch of software options that will get rid of the iTunes DRM for you. Just be sure to keep your anti-virus and anti-spyware programs active, because, well, you just never know with some of this stuff.)