There are basically two types of music on the internet. One is MIDI and one is MP3.
A MIDI looks like a little grey box at the bottom of your page. It does play a song, but the sound is produced with synthesizers so it sounds very computerized. You cannot hear the voices on MIDIS. If you are familiar with Expage and their music, you are probably familiar with MIDIS. I used to use MIDIS before I discovered MP3s. Click here to hear an example of a MIDI.
A MP3 is a song that plays on your page, too, but it sounds different. With MP3s, you can hear the voices and the song sounds normal. You have to be careful with some of them, though. Sometimes, whoever uploads it to the internet has a bad connection. This will cause the song to sound muffled. Then, other times, someone will put weird sounds on the song somewhere before they upload it so that no one will steal it and say it is theirs. I always encourage you to listen to a song before you put it on your page. As far as it being illegal, I wouldn't worry too much. Just don't download the song. If you do plan to download it, make sure that the file name ends with ".MP3". Click here to hear an example of an MP3.
I definitely prefer MP3s, but some people like the MIDIs better. The sound quality on the MP3s is obviously much better, but sometimes the song might be too raw for your page and you would want to use the MIDI format.