Audiogalaxy had the best interface, plus you got to download really rare songs, even those that are offline when you searched. Too bad they got shut down..
KaZaa and Morpheus allow you to download music videos, but can't find any rare songs.
WinMX isn't too bad..it just annoys me for some reason.
Stay away from Morpheus, it has spyware installed in the program, and as soon as you install it, the spyware is on your computer forever. This isn't spyware that you can uninstall easily, this is invisible spyware that you don't even know is there.
Warning about KaZaa: KaZaa has spyware within it that uses your computer's resources when you are not there. When you use KaZaa, simply download KaZaa Lite, which is not bundled with spyware..