there is some controversy regarding the legality of "importing" mp3 files from these sites, but there is nothing definitively illegal, as they actually are willing to pay royalties to artists who register with ROMS.
As there has recently been server problems with Allofmp3, which have now been rectified, the others listed provide an alternative, but not as good as allofmp3, which provides users with an extraordinary choice of formats, from FLAC, OGG, WMA, Mp3, etc. at brilliant prices, plus a fantastic download program called AllTunes. The others mentioned are strictly Mp3 format.
There is none of the restrictions which apply with iTunes, plus whole albums only cost approx $1.00 (US), that's less than you pay for 1 track with other on-line music stores
If you'd like to avoid the grey area of the Russian sites and the illegality of Kazaa/P2P/BitTorrent,
you could try http://www.emusic.com/ which sells files in the mp3 format.
There are alot of other retailers out there for music downloads but the problem with the majority is that they are not compatible with the iPod (thanks Apple!!)
If you do look into the others like napster or mycokemusic, make sure that they are compatible with your specific type of media player.
The sites normally carry an up-to-date list of supported devices.