Once in a while you run into a stubborn label that wants you to pay for their music. It's probably only 5% of albums, so unless it's an album I'm dying to listen to, I just find something else. If I -am- dying to listen to it, I'll just buy the CD.
Napster -- in its current form -- is the only reason I haven't got a Zune (or an iPod, for that matter). And a lot of labels are on board. More than you may think. Not to sound like a salesman, but I am pretty sure they have a free trial, if you have a windows box.