This actually is possible. At the risk of having Apple ruin another useful function, I'll tell you how it can be done anyways. Get one of the apps that have the ability to download files from the internet; iDownload, iStorage, Folders, or Readdle Docs. My favorite is either Folder or iStorage. You can download individual mp3s or zip/rar files. You can unarchive zip files with these apps, but not rar files. You will then have to play these mp3s using the app you used to download them with. That is, you will not be able to directly add them to your iTunes library. As for buying mp3s from legit sources (like Amazon), I don't think the iPhone allows this - iTunes only.