I don't think that is legally possible to do for "free". In cases where you pick the song you want to listen (so it is not like te artis is promoting in cases on Radio, Pandora, etc) the artist need to get paid.
Question regarding grooveshark... What does the monthly fee cover? Does it allow unlimited streaming and downloads? Is there any way to get those downloads to iTunes? I'm still in trial mode and trying to decide If it's worth the $ or is there something better out there? TIA!