In the comments, Martin points to a post on his blog about life beyond the major labels. Good advice. My own flavor would include DRM-free MP3s from indie and small labels at Emusic, KEXP online (and podcasted!), the Audiofile blog at Salon, the guys at 3Hive and Funky 16 Corners. Trading music with friends is good too, but it’s better when there’s some value add from your friend in the form of a mix.
In fact, that’s the common thread through all Martin’s suggestions—the value added by working through people to get exposed to music, rather than just pursuing the product of the majors.