I don't generally use download sites (which I'm presuming you want), partly because I'm stuck on this God-forsaken dial-up connection and partly because the stuff I normally buy is considered pretty niche (hard dance/techno).
However, I did try out MyCokeMusic.com (I got freebie downloads from this promotion they had ages ago), and the prices do seem reasonable enough (99p/track). It's excellent for any newer top 40 releases, but falls short slightly in the "golden oldies" department.
I tried to find REM's Losing My Religion and couldn't find it. They had most of their albums, but probably their best and most successul track ever was missing. Hmm...
Elsewhere, my friends use the all-new legal version of Napster and Apple's iTunes, and they sing it's praises. Not sites as such (you need to download an app to access them) but what the heck...