The two big sites are Napster and iTunes. The problem with Napster is that the DRM on the files you download restrict you to where if you cancel the subscription, the files stop working.
iTunes has started releasing files without DRM, so you can play them legally on whatever devices you want... an MP3 player, burn them to a CD, etc.
This is from what I understand - not what I've experienced. Most people who use iTunes just use them for iPods, but that's starting to change these days.