I've downloaded several MP3 albums from Amazon and for now I think I'll stick with buying CD's. The price made it hard to resist and the sound is actually very good but not as good as uncompressed. Mainly I've noticed that cymbals sound "thin" compared the same song uncompressed or compressed with FLAC and to me that's not tolerable as I'm something of a cymbal freak. If I had to do a double blind to see if I could tell which was which that's what I'd listen for. Otherwise I'd probably not be able to tell any difference. I don't use iTunes so I can't comment on that.
Hopefully more places will start offering uncompressed or losslessly compressed music to download at similar prices.