I just made my first purchase using Amazon's new mp3 download store, AmazonMP3. First off, it's sweet because the mp3 has no DRM, so I can use the song however I want and transfer it between any of my computers and players.
Amazon has also created iTunes integration. Once you install their mp3 downloader any purchase will be automatically added to your iTunes library! The download of this app was easy and fast on Windows XP. My first purchase was added right into the library and it even had the artwork added too! Good thinking Amazon.
The Amazon store isn't nearly as sexy as the Apple store, but the songs are cheaper, DRM free and easy to use. That's a win for me.