Here's a story you've probably already heard, but the ramifications for the iTunes store may be interesting as are the possible reasons the music industry is doing this.
I've used the Amazon MP3 downloads and they are quick, easy and show up in iTunes automagically. The are also DRM free so you never have to worry about losing them as long as you keep backups against disaster. There is no reason that I can tell not to use Amazon's DRM free MP3s. The are 256 kbps so are pretty high quality and ususally much less expensive than buying the physical CD. You also get nearly instant gratification.
Be aware that the DRM free downloads are probably watermarked and can probably be traced back to you if you share one with a million of your closest friends. But putting them on the several computers on your home or sharing them on your LAN (check your settings to make sure you aren't sharing with the Internet) should be no problem.
I've done some comparisons and in most cases Amazon costs less than iTunes, however sometimes iTunes includes bonus tracks or materials for the same price. Check it out both places before you purchase and weigh the pros and cons if you are using an iPod. If you use several different players DRM free is the way to go besides buying the CD and ripping it yourself.