You can "tune in" to Internet radio stations and it will record them and save each song to your hard drive as an MP3. It figures out what the song is and saves the file with the artist and song title as part of the filename!
You can record multiple stations at once, so you can build up a collection of songs rather quickly. Also, there is no way for the RIAA to "track" you since you are simply streaming audio, not sharing files. Besides, I don't see this as any different than recording FM radio to tape, which I used to do occasionally.
All this for $17.95 -- a far cry from the thousands of dollars you are risking by using P2P networks to download songs! And a lot cheaper than $0.99 per song.
Online streaming radio usually stinks.
The exceptions are things like Launchcast and MusicMatch radio, which aren't streamed but delivered to you.