No one library has it ALL, but you can almost find it ALL through ILL (Interlibrary Loan). You can find books, scores, journal articles and often CDs and DVDs. The Worldcat database links directly to your ILL account which will allow you to borrow from many other libraries across the USA. Most materials can be obtained within a couple of weeks, but expedited service (3-5 days) is also available through our consortiums called ATHENA and KUDZU. Articles can often be delivered directly to you electronically.
Before you get ILL, consult a reference librarian who can help you determine if you really need to use this free service.