My primary music source is my 40gb mp3 collection, which is triply rudundant between my machine's hd, my brother's hd, and my 250gb external hard drive (which I refer to as "my big pen drive"). The two on the machines are kept in sync with a simple xcopy cron job that runs nightly. The external drive is manualy sync'd with an xcopy when I feel it needs updating.
I have home theatre quality 5.1 surround speakers on my computer. I do not own any type of boombox or stereo. I do however have a 256mb MuVo, which is only so-so, but it does for running.
In the car I enjoy my mp3 cd player. It never skips when playing mp3 CDs, and I can put an average of ten regular albums on one CD. I keep the CDs in one of those awesome pouch things that straps to my visor and keeps me from using the mirror.
Half my music is legit downloads from
Allofmp3 (that's a link, you can click it). They're a good Russian based service with a reasonable selection. The primary advantages they have over iTunes and Rhapdosy are that 1) you can pick between a large selection of formats / bitrates and 2) you are charged per mb not per song. Sadly they have primarily Western stuff, so for the other half of my collection I turn to imports or, yes, p2p.
I agree with Potter,
foobar2000 (another link people) is the way to go. Small memory footprint, fast loading, very modular so you can make your own plugins (I'm developing my own for better front / rear channel seperation) everything Winamp used to be before they sold out.