I thought it'd be a good idea to gather some places where you can download music free and legally.
I'll start with three sites.
SoundClick - this site has a wide variety of songs, and a huge amount of them. No matter your musical preferences, it's very worth checking out. Many tracks are also free to download.
Jamendo - Part of the Creative Commons, you only have to pay for tracks if you use them commercially. Also has some good variety.
Matti Paalanen - a very talented Finnish composer, he has three distinct projects featuring superb tracks. My favorite is the Celestial Aeon Project.

I haven't checked this site out, but it looks legit.
http://www.redferret.net/pmwiki/pmwiki.php

If you like video game remixes, check out ocremix.org. They've got a pretty wide selection in a number of music genres available for free.

OCReMix was what I was going to name, alot of great stuff there. I highly recommend the Final Fantasy albums they've done. (Eagerly awaiting the FFVI album)

Here, though, is a great place for live music. There are some major artists on there, along with an incredible amount of indie bands.

Some artists also release their music for free on their websites. I know Angel's and Airwaves have one free album, Nine Inch Nails has one, Coldplay did a free one too...

Edit: This link is great if you happen to be a Deadhead, the number of concerts they've contributed is almost over nine thousand.

Since OCRemix was mentioned, I'll just drop in and [url=http://amigaremix.com]amigaremix, dedicated to Commodore 64 and Amiga, respectively.

Noisetrade is an interesting little place to find some music, be warned though, the search engine is terrible.