In addition to the Grand Theft Auto IV soundtrack, you can download any of the songs in the game over at Amazon. They have it organized by the various radio stations where you can preview all of the songs.
A GTA IV music best sellers list is set up
and the infamous 'Schweine' is at the top!
They are all DRM-free (unlike iTunes) and start at 89 cents/song.
Check it out: Amazon - GTA IV Music Downloads
[Submitted by shilo, Thanks!]