Any P2P site. Ultimately, that comes down to ethics, because the artist suffers etc. If it really bugs ya, get their music free and go to their gigs- because touring's apparently no longer the loss leader it once was. Incidentally, the Russian site above is also dubious ethically, but legal nonetheless.
eMusic offer 25 free downloads as a trial, but you can't get any off a major label (they don't agree with the site, for some reason.).
MusicMatch allows you to stream stuff for free, but I don't think you can download it.
Finally, in the new year there'll be something called Spiralfrog which will be free if you can put up with adverts. The catch is that you'll have to visit once a month...