Mainly via Amazon now because I can buy the songs that I like at a reasonable price. Every now and then I'll get something from iTunes.
I buy some hard-to-find classical music on CD from Arkiv Music.
http://www.arkivmusic.com/classical/main.jsp
I'll check out the P2P nets if I'm looking for something that's out-of-print to see if it exists anywhere, but not very often. I've got a Squeezebox radio, XM at home and in the car, plus my CD/LP collection, so I've got more than enough music to listen to already.