This section goes over most of the efficient ways at how to download and obtain all of the things that we cover here. This includes anime, movies, games, soundtracks, and the like.
First off, I'll go over the various programs that you can use to get all these things.
In recent years, the program that has become the most efficient and quick method of obtaining anything is Bittorrent. It's essentially a program that lets you download a torrent file, which will connect you to a group of people, called seeders, that already have the file(s) and are uploading it. The file(s) are downloaded in small packets of data at a time, so while you are downloading the file(s), you can also upload them to other people. What this means is that Bittorrent is where you will max out your download and upload speeds, because instead of having just one person uploading a file to you, you will have several people uploading to you, increasing your download speed. This also means that you will get faster speeds on a file that has more people downloading it, which is a startling contrast compared to HTTP, where you will get slower speeds if more people are downloading it.
Anyway, with that out of the way, when using Bittorrent, you should always continue to seed the file(s) that you just downloaded after they're done, so that you can give back to the community in some way. Recently, in some bittorrent sites, this is a requirement, as you have to keep your share(upload/download) ratio at a certain number to keep using the site.
There are several bittorrent programs out there you can use, but by far, the most powerful and popular ones are Bittornado and Azureus. The difference between these two is that with Azureus, you can actually choose which files in the torrent you want to download, which is useful if you're downloading huge torrent packs(like say, episode 1-31 of Fullmetal Alchemist), and you only want certain episodes.
Another method is through IRC, or Internet Relay Chat. Most fansub, ripper, and encoding groups will have IRC channels where they distribute all their files, so this is also a very efficient way at obtaining files, directly from the group. Generally, in an IRC channel, you can get a listing of the fileservers available that offer the files by typing !list, and highlighting and pasting the fileserver triggers to access the fileservers. When inside someone's fileserver, just use DOS commands to navigate them, such as dir, cd <directory name>, and get <filename>. Also, the bigger and major channels should have XDCC bots in them, which you can access by typing /ctcp <botname> xdcc list.
As a trend, most of the anime channels tend to be on irc.rizon.net, the manga channels tend to be on irc.irchighway.net, and the gaming/warez/soundtrack channels are scattered all over the place. If you have trouble finding channels where you can download a certain game or soundtrack, try IRCSpy.
The last method that I will cover here is through newsgroups, or UseNet. Most ISPs should have a newsgroup server you can use, so that you can connect to the various newsgroups out there to download their binaries. I recommend XNews as a Usenet client.
I generally prefer getting anime over bittorrent. To get a listing of the torrent links and the fansub groups for unlicensed anime, go to AnimeSuki and envirosphere and for a listing of groups for licensed and unlicensed anime, go to Baka-Updates. Generally, these sites will give you the group that subbed the anime, a listing of the episodes they subbed, their website, and their IRC channel. Also, DVD-rips of anime DVDs can also be found listed at Baka-Updates.
An excellent torrent site that has large volumes of anime, usually in full collections, is Boxtorrents. However, please note that Boxtorrents is very, very strict on your share ratio, as I believe that you have to keep it above 1.0 at all times or else you're banned. So make sure that when using Boxtorrents that you are able to leave your computer on for very long periods of time, so that you can keep your ratio up while uploading.
Tokyo Toshokan is also a great place to download anything Anime and Japanese related.
Also, as I have said before, the anime groups tend to be on irc.rizon.net
Usenet is not really recommended as a method to get anime, and I don't know of any newsgroups that have anime binaries.
Movies and Games
For movies and games, I recommend that you go to the various big bittorrent sites that archive all the torrents of the games that they offer. A few of these are Mininova(a sort of replacement for the legendary Suprnova), The Pirate Bay, Torrent Reactor, and TorrentBox. You can also simply search for anything you want by TorrentSpy and IsoHunt
Movies and games can also be obtained rather quickly by use of the various high-speed XDCC bots around IRC. Use IRCSpy to find what you need.
Movies on Usenet can be found on the various alt.binaries.movies and alt.binaries.multimedia subdivisions, and games can be found on the alt.binaries.warez subdivisions.
Albums and Soundtracks
These can all be found using the same methods employed in the movies and games section.
However, for Japanese and Asian music, I recommend The Lucia Tracker(the official replacement for the old Public Morning Musume Tracker), Tokyo Toshokan, Tokyo Nights, and JPOPSuki. And for lossless rips of everything classic and progressive rock, I recommend Pedro's BTMusic Only Tracker.
Music can be found all over Usenet in the various alt.binaries.sounds subdivisions, and Japanese music can be found in alt.binaries.sounds.jpop
For videogame music, the absolute best encoding group is GameMP3s. Join their IRC channel to get a listing of the FTPs they provide with their encodes, or use their torrents.
Videogame music can also be obtained on Usenet in alt.binaries.sounds.mp3s.video-games
Emulators and Roms
Emulators are very, very easy to get, but roms are a much different story. FIrst off, you can get information and downloads on all emulators for all systems at NGEmu and Zophar's Domain. You can even download complete game soundtracks from Zophar, but be aware that those are gamerips, and are in some cases in worse quality than the official CD releases of the game OSTs.
As for roms, the best place to get them, bar none, is EmuParadise. You do need to sign up for an account to get access, though, but it's free and very fast. EmuParadise also provides game soundtrack downloads, that are the actual rips from the CD releases, and they even have a bittorrent tracker.