I use Napster, and the mp3 thread. I'll go out and buy CDs if I like what I download because I don't have an mp3 player and the quality of the burned CDs that I make isn't so stupendous.
The mp3-thread. Or, which is the same in principle, asking friends to send me an album when they have one I would like to have too.
Sometimes I use a file-sharing program but more for single songs and not very often.