As far as I know, you have three options (and this is assuming you mean Japanese BGM as opposed to opening/ending themes and dub music), as most pieces have not received a proper CD release. The first is to wait for a month or two, as an anime BGM CD with ~80 tracks has recently been announced and will be released in Japan on Sept 8th, and who knows who long it'll take for it to reach the internet. The second is to download the movie soundtracks, which are quite often used in the show itself and links can be readily found with a bit of searching. The third, if you're impatient, is to get the Genki Ippai CD (link is here (
http://www.4shared.com/file/36675138/cb36ce55/Pokeplusnet_-_Genki_Ippai_Pokemon_Song_Shu_-_2005_Nen_Pokemon_Ongaku_Undokai-yo_Hen.html), which I found on this very forum) which has a couple of tracks from the Johto and Hoenn eras, all orchestrated versions of game themes (like gym and battle and such). The Together / By Your Side ~Hikari's Theme~ single has two D/P tracks but you're better off downloading the movie soundtracks if you want orchestrated versions of D/P game themes.
Hopefully I helped!