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There are hundreds and thousands of websites that offer digital audio files for downloading. Some of these are legitimate sites, many aren’t.
Focusing on the legitimate sites first, we have to start with the big online music stores—those sites where you pay a buck or so per track to download high-quality digital files. Then there are sites run by record labels and individual artists, which sometimes sell tracks to download, and sometimes offer free tracks to fans. All legitimate sites, all offering authorized versions of the music in question.
On the less legitimate side of things we have file-sharing and BitTorrent sites. These sites offer tracks obtained unofficially and offered without authorization from, or payment to, the legal copyright holders. You don’t have to pay for the tracks you download from these sites, at least explicitly; you may pay later, in the form of unwanted malware added to your downloads, lawsuits brought by the major record labels, or just general shame from doing something illegal.