I'm not much of a fan of musicals, but...
...if you're a fan of Joss Whedon's (and I am), may I point out that his most excellent short musical in three parts, Dr. Horrible's Sing-Along Blog, is available for frickin' FREE at Hulu.com.
I love that it's got an on-again, off-again video blog type format to it. (though this does seem to drift away.)
(Hat-tip to LawDog, who told me about this a year ago, but I was too cheap to download it for a fee.)