This is a very touch subject, Julia. Obviously everyone likes free stuff, but if the bands or labels themselves are not offering their music for free, then you shouldn't try to find free downloads of it. My rule of thumb is as long as something's not out of print, then I'll try to find it and buy it first. I'll either buy a hardcopy of it (vinyl or CD), or I'll try to find it on Amazon.com, eMusic, iTunes, etc. (I have an account on eMusic myself and use it every month... that's my monthly budget for downloads). There are also excellent online stores where you can shop for tons of this stuff. Norton Records, Crypt Records, Dionysus, Sundazed, Bomp/AIP Records, Get Hip, Midheaven, In the Red Records, Goner, etc. all have ways to order their stuff online. Google them. Support them. Order from them. Without these people doing what they do, we'd all be fucked. These are good people with legitimate businesses offering products that all of us want. The least we can do is save up and buy from them as often as we can.
Torrent sites are also monitored very closely today by ISPs, and if you visit one enough or download a lot of stuff from them, you may get busted by either having your Internet service account yanked, or worse (the RIAA has issued huge fines for pirating music in recent years). Just a fair warning.