You've two choices:
ITunes and IPod. This is the slickest set-up with huge choice and it all works really well. Unfortunately it restricts you to pay-per-download only. Apple stuff has its critics, but generally speaking it works and works well.
Rhapsody, Napster, Urge or any one of the other Windows Media based services. These offer almost as much choice as ITunes and the same pay-per-download option. Importantly, these also offer subscription services which, for a flat fee of about $9 per month, allow you to download and play as much music as you want from a small number of 'authorized' computers. You cannot burn these tracks to CD, but for $15 or so, you can transfer them to a compatible MP3 player. This, to me, makes loads of sense. But I should say I've had a number of compatibility problems between the services and MP3 players.
At the moment, I'm torn between the two options. I have an Urge subscription, but I love the way my IPod just works. If Apple ever introduce a subscription service, it'll be a no brainer. But given they have 95% of the market with the more lucrative pay-per-download option, I'm not holding my breath.