I personally use a mixture of iTunes, 7digital and ILM (http://www.ilikemusic.com/ilm-media/) – these guys (UK Based) offer completely legal (they get them straight from the record companies) tracks, nearly always as a lossless wav file, often before it’s official release date..
You do have to be set up as self-employed or be part of a DJ company to get access to their library though – they are quite careful about who they let in as their license with the record companies relies on it being commercial (IE not consumer) only.
Best thing though – they are around half the price of iTunes per track and you get a lossless file for that half price.. UK only though..
bob6397