iTunes, I tried looking for "So long & thanks for all the fish" (from the Hitchhiker's Guide to the Galaxy) on p2p networks but all the hosts were crap.
iTunes Music Store is very easy to use, and is now available in loads of countries. If you're not using iTunes for managing your music then you should be.
Also, unless I'm very much mistaken, ALL legal music download places give you the files in some proprietory format with digital rights protection (ie can only have it on so many computers at once etc).
So if you're going to get stuck with a proprietory format, it mays as well be AAC because it's around two thirds the size of an mp3 for the same quality (or higher quality for the same size, depends how you look at it). Meanwhile Microshaft's solution is some WIndows Media format but Windows Media is typically very poor.
Plus iTMS is one of the few that lets you burn your downloaded music to CD, despite this actually being the easy way around the protection (burn then import).