I acquire by going to record stores like Jazz Record Mart (a wondrous place, but dangerous for the wallet--I can never get out of there without spending about $75), plus every once in a long while a treat from a specialty shop like Mosaic Records. Lately I've also been buying a lot more music online. Initially, I would look for mp3s when I knew of a particular track I wanted, but didn't want to buy the whole album (or couldn't find the album). For instance, if I heard a tune at a dance and asked the DJ what the title was, it's easy to go home and look it up. Lately I've spent more time just exploring online music, as oppose to only making specific, targeted acquisitions.
My three main sources, as you can tell from the links I list in my "One Track Mind"posts, are iTunes, EMusic, and Amazon mp3. Over the next couple posts, I offer my opinion on each of these sites.
Starting with iTunes...
iTunes seriously annoys me, in many ways, but chiefly for their online store. For a long while, the mp3 files sold in the iTunes Online Store had digital rights management (DRM) protection on them, so that you couldn't freely share the files with your friends. Piracy issues aside, it also means that I can't play those files in most other music players other than iTunes.
I've been gradually going through and getting rid of all the DRM'ed AAC files that I've accumulated through iTunes, replacing them with mp3's or whatever the current standard is. I think some (maybe most) of iTunes is now DRM-free, but still their whole scheme really annoys me.
The main attraction of iTunes is convenience (assuming that you too are deeply caught in Apple's web of personal music products). Since I use iTunes to organize my collection, it's easy to pop over into the store and grab a track, and it shows up in my library with no added fiddling. They also have a very large collection of music, and a good search interface. Since it's all integrated into iTunes, it feels more like you're browsing through a database than clicking through web pages. I like how the album reviews and user reviews are integrated into the page, so you can read them and browse through tracks at the same time.
The biggest drawback to iTunes is cost. It's the most expensive source out there, so it's easy to quickly run up a decent sized bill. Other drawbacks were the DRM and the low bit-rate on the files, but I think those are getting to be less of an issue.