You can buy off of Amazon and as you say Play.
The best site I have found is Spotify which allows you to listen to entire albums before you buy, then if you want to buy they have a company - Digital 7 - that sells. It also keeps your purchases on line for a limited number of downloads so should disater strike all is not lost.
This is my choice it may not be the best out there but I haven't found any where "cheaper" and it does the job.