I mostly buy music on iTunes, so I can export it to mp3 and have that available wherever (the mp3 conversion option is actually built-in).
iTunes is terrible for discovery though; it hides 90% of music on it unless you search for it explicitly, and only shows the most currently popular or new music. For discovery I don't have one good approach I've found, I usually just do a web search like "artists similar to <band I'm currently listening to>" and see what comes up.