What I use:
KAZAA LITE - PRO: Good for downloading single files CON: Subject to a lot of viruses, plus the gov watches this shit, this is where everyone is getting fined
mIRC - PRO: The newest shit can be found on irc, they get everything first CON: there can be long ass wait times, could wait DAYS to download an album, also hard to learn at first
BIT TORRENTZ - PRO: Easy, and a good source for tv shows, movies, and progs, plus its pretty damn fast CON: not so good for music, limited selection
AGENT- PRO: Really fast, plus really private, big selection of everything CON: your ISP must support newsgroup file sharing (a lot are doing away with it), kind of difficult to set up and run, takes a lot of scroll button searching
DC++ - PRO: you can pretty much find any album, game, movie you want, old and new. All kinds of files can be shared since its a direct peer-to-peer, most complete search function yet CON: Speed of download greatly varies due to peoples diferent bandwidths, a lot of disconnects, when people download from you it slows down your own downloads a lot, you have to follow the rules of each "hub" or risk getting banned
Hope this helps.