Legally Downloading Music
As many of us search the web for the lowest cost sources of good quality recordings of the term's composer selections, it's important to remember that we want to be sure the recordings we are using are legal and are being used in a way that is legal. Not all sites that offer downloads make sure that the files made available on that site are legally available to be shared--this is especially true of free sites although it can also be true of sites that require payment. p2p sites such as GrooveShark and YouTube, where users upload the content to share with other users, can offer no guarantee about the legality of the downloads they provide, although they may try to police them.
You can find more information about these issues here.
Generally speaking, if you want free downloads, the most legally safe source for them is a website belonging to the actual artist. www.classiccat.net is a good listing of links to actual artist sites with downloads of classical music. There are many reputable sources for classical music downloads that require payment; I generally use www.eclassical.com and www.amazon.com, but many others are also legitimate.
One other point--I've seen the advice about ripping audio from YouTube to use as mp3's. Before you do this, please check on the YouTube page for the video you plan to convert to mp3. If it is available to be legally saved, it will have a Download button in the lower left hand corner. I recommend you click on this to be sure it is a free download; some require payment and so would be illegal if you ripped an mp3 copy. Even in this case, you might still run afoul of copyright law since the allowed downloads are to be in mp4 format and conceivably some copyright holders might object to the mp3 format copy being made (since that is a significant change in how their file is being used).
Please be careful with downloads. I use them all the time, but I encourage you to exercise caution and good judgment. Although it may be unlikely any of us would ever face prosecution for illegal downloads (but it is not inconceivable), we don't want to engage in unethical use of content owned by someone else either.