There is indeed an increasing number of media content download sites coming online now. However, not all the major music labels/studios have decided to take the plunge, probably because of issues such as Digital Rights Management to protect the content copyright, etc. Depending on what sort of stuff you're into, many of the sites today may not serve your interests sufficiently.
Unless it's clearly stated that they are using a Premium dial-up (check carefuly), the bulk of their revenue will be derived from advertising, so you also need to check whether your system is going to be loaded up with adware, spyware and lots of annoying pop-ups if you subscribe. If premium dial-up issues are a concern to you (and there are hijack cases documented), get on to your phone service provider and ask them to automatically block your line from making outgoing premium calls. With BT I think it costs about £1.50 per month (or per quater, not sure).