Depends really on your specific needs. I use the Roche 10 cd birds of britain and europe, but it doesn't include many of the non-european species that turn up, so I end up using the web anyway!
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No one on their death bed ever said they wished they'd spent more time at work. http://bitsnbirds.blogspot.co.uk
I have the 'RSPB Birds of Britain and Ireland: Interactive PC and PDA Edition' which is a program that works both on a Windows PC and on a Windows Mobile phone or PDA - great for having sounds out in the field because you can use the program to search for bird info, pictures and sounds whilst you are out.
In my opinion it's better for finding what you want than just having a collection of sounds. You can also log your sightings with it. Mine cost £10 from Amazon Marketplace but it's currently on Amazon for about £24 and Amazon Marketplace for about £21. It used to be £40 and it comes up on e-bay from time to time too.
Also Leigh Library has a rather battered double CD of bird song which you can hire for about £2 for a week.
Hope this helps.
P.S. Of course the RSPB website has many bird sounds too.
This is a good site for learning just type what you want to hear in the search bar at the top http://www.xeno-canto.org/europe/
I have a birdguides cd called Identify (250 species) unlucky for me I learned about that website after I bought it
The quality on the above website is better in my opinion unless they have updated there cd. The bird guides one fits in my mobile phone so I have it handy if I hear anythin I dont know if i'm out.
I have some MP3s that I have aquired from various sources which I keep on my phone for when I'm out and about. They range in length from just a couple of seconds to about 30s. 254 species in total. I can email them if you want - just PM me. They take up about 80MB in total, so I would send in several emails.
-- Edited by Paul Wilson on Sunday 30th of May 2010 12:16:43 PM