For the more advanced user there is DirectConnect (among others, http://dcplusplus.sourceforge.net). It uses literal 'hubs' where you can login and download from other users. No ads, and since almost all hubs have quite tight security in the form of OPs (those without are usually empty) you can safely download without risking viruses or wrong files (that is, if you don't want them 😉).
BTW, I say here 'advanced' user, because there are certain options you will have to go through before you can start downloading. It certainly isn't a install-and-dl program like KaZaa (for one, you HAVE to share some files), but once you have become accustomed to it, you won't use K*Z** anymore.
I think alot of people are just downloading music etc because they are a little on the tight side. On a positive note, the price of CD's are coming down all the time. Supermarkets in the UK like Asda are now selling chart CD albums for somethings like £9.67. It kinda makes it a waste of time to look for the tracks on the internet and download them.
I do, however, think it is a great idea to download a couple of tracks from an album for free just to make sure you like the album before you spend those hard earned penies (cents)