For those who truly want to own the file, Apple Music (formerly iTunes purchases) is the gold standard. When you purchase a song or album, you get a high-quality, DRM-free AAC file. You can download the entire album as a ZIP-like package, organize it in your library, and transfer it to any device. This is the closest legal equivalent to the old-school "ZIP file download."
Complete albums from the year’s biggest blockbusters. How to Safely Download Zip Files