There's loads, depending on what you're looking for.
www.free-albums.net is a site with, as you'd guess, a lot of full free albums. There aren't very many underground albums though, it's mostly mainstream, but there are some real gems there (I usually go for metal though, so Darkwave, Gothrock and Gothabilly or whatever else you're looking for I'm not much of an authority on).
www.musire.com I use that site mainly for classical, it has Wagner, Beethoven, Philip Glass amongst others, ones I've been searching desperately for. It also has a tidy collection of soundtracks for movies and games and some normal bands.
www.mp3raid.com That's for single MP3's, I don't use it much, I'd rather get the entire albums, but there it is, it has quite a range, I was able to find about 20 Busdriver songs (yes, I like Busdriver
) on there, so you shouldn't have too much trouble.
If you're not fussed about downloading the songs, but just listening to them,
www.radioblogclub.com is always a hit, and if you want to download from RadioBlogClub, use
http://radioblogdownloader.com/
Hope that helps.