I'm planning to get a PSR740. Can I buy CD-ROMs with good percussion grooves on them and play them through the PSR via the disk drive? What options do I have in terms of going beyond the already-loaded styles?

I own a psr 740, and I really love it. It gets so many nice sounds, and it's so light. The only problem I have with the psr 740 is its lack of expandability regarding styles. If the percussion grooves on your cd rom are wave files, then, the psr 740 cannot play them. If they are midi files or have xg voices, then the keyboard can play them. If you can interface your keyboard with a style program or a sequencing program, you can create new styles from your drum midi files. See the PSR 740 website http://home7.inet.tele.dk/js/musik/740pages for more ideas. Unfortunately, the psr 740 only allows three onboard custom styles at one time. To add new ones, you have to load them from disk and bump off the ones you have onboard. The one touch accompaniment buttons do not work with custom styles. You have to manually choose your right hand accompaniment. Thus, for live purposes, the PSR 740 is limited to little more than the 160 styles it comes with plus the three custom styles you might have already loaded. It just takes too long to load new styles in a live setting. It can be done, but it takes your attention away from the audience for a good 15 seconds.

So I could record good MIDI rhythm tracks to disk and put them in as needed? (I don't want to use this for performing). Where can I get the most sophisticated tracks?

Yes. You can create your own styles for Yamaha keyboards using an ordinary sequenzer software. The Yamaha style files are actually renamed midi files with some added formatting.
It is a little hard to explain shortly, but read mine and others articles at http://home7.inet.tele.dk/js/740pages
There are lots of links to style sites and style software too.
Happy styling
Jørgen
The Unofficial Yamaha PSR 740 Home Page

Actually, I have looked at the above site many times...it's great. But I'm actually more interested in downloading >other< musicians' rhythm tracks and using >their< styles on my 740, rather than vice versa (my creativity lies in harmony rather than in thinking up great grooves). Any advice is welcome. I just got my 740, and I'm amazed.
Thanks for the tips so far.