I use limewire for downloading music videos or single tracks, but use other software like e-mule for downloading entire albums in an archive formats such as those with .zip or.rar extensions. You can then just extract the music files from that.
Limewire is by hell the fastest downloading software of its sort, but it is time consuming to find out and download every track from any one album, so that is when I turn to e-mule.
I don't know too well where to post this 'cos this isn't really a feature request as such, but if more people could compress albums into archive formats it would be cool, 'cos with e-mule you can sometimes sit for a day waiting for an album to come through, and with e-mule I guess it could take at most about 3 hours to download an album like that.