Do not forget about YouTube.
I search there for my favorite music genre and if a band sparks my interest, I go to CD Universe and listen to all of the short samples from the album and 90% of the time "click" to move to my shopping cart. When I have between 15 to 20 CDs in my shopping cart I will then have my order delivered.
YouTube is a great place for music. I use an Apple TV 1 as my server, so YouTube is very nicely integrated into my stereo. My favorite part of YouTube is live stuff - where else are you going to find Pearl Jam performing an acoustic set in Tower Records in Yonkers, NY before they hit the big time? Where else will you find BB King performing The Thrill Is Gone on the Kenny Rogers show? Sound and picture quality vary, but that's not the point IMO.
One of my favorite videos on YouTube is Metallica's Cliff Burton (deceased bass player) playing For Whom The Bell Tolls. If you want to see a guy play bass like its a lead guitar, YouTube search "Cliff Burton for whom the be tolls." It's the first one that comes up under results.