I'd say try out some of the better ones and use the one you like the most. I'm not too sure what the better ones are since I don't really use any, but I did use LimeWire for a short time a few years ago. I now use SoulSeek (however not very often anymore) and it's pretty good to me when I want something. The number of people on that seemed to drop alot though, not sure why. I used this one program called SongSpy back in the day that I really liked too. Then it stopped working for whatever reason. I guess it "shut down"?
I prefer to get my music through message boards mostly. You can get shit as soon as it leaks and depending on which message board you look on, you can find ALOT of old shit too. The only down side to these kind of message boards is the people that post on them. Most of them are idiots and damn near demand their online points (props) when they upload something. It's like they think they made the music themselves. I don't do much actual posting anyway, so I guess it's not hard to avoid. Good message boards have alot of sections though. For example.. New Albums, Old Albums, New Songs, Old Songs, Mixtapes, OST's, Underground.. etc.
SoulSeek is the best file sharing program i've used by far. Like I said though, I haven't used many anyway. But I like how you can browse users files and I also love how most people have their music organized nicely. Searching was weird on SoulSeek for a while though. I think there was some kind of bug or something with one of the versions they put out. So when you searched for something, it wouldn't come back with much results. But if you went in a room (underground hip hop for example) and typed in what you want, you'll usually get good results. Of course it also depends on whether or not what you're looking for is common, hard to find.. etc.
I have a huge music collection and it'll only get bigger, lol. I had dial-up for years and I downloaded a shitload on it. Probably like 15,000-20,000 or so songs. Eventually the quality got better and all of a sudden you could find everything in better quality instead of the normal 128. So this past year or so since i've had my external hd, i've been pretty much re-downloading everything. I've probably downloaded like 600 albums since Janurary. So once I get everything I want, i'll delete my old music and replace it with all the new, better quality music.