If you do buy it from the internet you'll probably have to deal with idiotic restrictions (iTunes will restrict you to copying the file three times, if you don't copy it within three days your chance to copy it is gone, also you can only copy those songs you downloaded to iPods.), not to mention that none of the money will go to the artist. Why bother? Just go for Torrent if you're willing to get busted, or use some File Sharing program like Soulseek (Which is much better than Limewire or even Frostwire). Also make sure they're mp3 files as they work with pretty much any mp3 player and only do this if you have good Antivirus software like AVG and a Firewall like Zone Alarm or PC Tools Firewall Plus.
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"They do, but what do you think is on the radio? Meat sounds. You know how when you slap or flap meat, it makes a noise? They talk by flapping their meat at each other. They can even sing by squirting air through their meat." - Terry Bisson