A lot of bands, especially new bands looking for exposure, are licensing their music under the Creative Commons license which allows one to legally download it for free. I've been downloading music from a site that hosts a lot of CC music for listening or download called soundclick.com
While some of the stuff is crap, a lot of it is very good and I've downloaded some very good music from there. It's divided into genre which makes search/browsing much easier. I have a number of tunes from a young guy named Dillon Lombardi and enjoy his work quite a bit, and have downloaded some stuff from various other new bands as well.
You do have to sign up for an account to download MP3s but it's free so it's no big deal. It's nice to be able to download some fresh new music without having to feel like a criminal. I suspect that eventually bands are going to bypass the crooked record labels and market their music directly via the internet.