Many legal alternatives to copyright infringement exist. The Amazon Music Store, iTunes, Rhapsody, Hulu, Netflix, Last.fm, and YouTube are just a few of the places where you can download music or watch movies and television shows legally. Some are subscription services (e.g., Netflix), some are available at low cost ($0.99/song at iTunes, for example), while others are free (Hulu and YouTube). Many artists, especially new and independent musicians, make sample songs available through their web sites.
Here is a link to a resource page maintained by Educause:Legal content downloading page
If you own a music CD, you are permitted to copy (‘rip’) that music for playback on your personal computer or portable music player. You are not permitted to make a copy of that CD to give to someone else -that is unauthorized distribution- unless you are specifically granted such permission, such as through a Creative Commons license. If you own digital tracks (e.g., downloads from the Amazon Music Store), you are permitted to copy those tracks onto a CD for backup purposes. The same prohibition on distribution to others applies to digital tracks as well.