AllOfMp3 is grey market. It's perfectly legal in Russia (there was a question as to whether they got the rights to the songs legitimately or not, didn't look too much into it, but they seem to be in the clear now). You'll pay 15-20 cents per song (it's based per megabyte, so the longer the song or the higher the bitrate, the more you'll pay, but still much less than itunes).
Personally, that's the only place I've bought music online from. It's cheap, and there's no DRM restrictions. Do note that when you fund the account, the amount charged to your card may be off a hair due to currency fluctuations (so that $15 may end up being $15.26 or $14.72 or whatever), but they are a very legitimate Russian site, they won't run off with your credit card info (at least they haven't with mine or anyone I've talked to).
Also, all the lawsuits you see made by the RIAA are against file SHARERS. If you use a p2p program (emule/edonkey, kazaa, bittorrent, etc.) then not only are you downloading, but you're uploading too. They go after those distributing copyrighted material, not those that only download. Basically they won't be going after you because AllOfMp3 is actually legitimate where they're operated (so no court subpoenas to see who their customers are, they're not in the US), and even if it wasn't legit and they could do something about it they'd go after who was doing the distributing, which is solely AllOfMp3 (you're not distributing if you only download). Now, that isn't to say they won't go after file downloaders later, but right now they're more concerned with those who distribute, i.e. upload it to others.
That's my take on it.