I think that Rhapsody is now $0.79 cents per song. This is because they are completely legal. They have agreements with virtually every major label, and I imagine that this involves paying royalties. It is a great site. You will find that most ANY song you want is there. But there may be some cases where the individual artists have not signed on to make their music available to 'burn' this way.
If I am guessing right, sites like KAZAA are more like huge internet sharing networks where all individual members can share material one-to-one, from their computer to yours. And, as mentioned, you would want to be careful about what you were actually getting. I am thinking that computer viruses would also be a concern. Sites like these are not companies or 'services' making music available, or selling music.