If I’m getting an album, I prefer to get the CD and rip it into iTunes. It usually isn’t much more expensive than iTunes if you shop for price, you don’t have to worry about DRM and can re-import it later if your hard drive crashes and you don’t have a backup (of course we all DO have backups, right?), and you get the full album art (not just the front cover; many of my albums I’ve scanned in more than one picture from the CD pamphlet), credits, and sometimes words and artist notes in the package.
For new music, I usually want the album, because I figure if I liked the song that got airplay, I’ll probably like more by the artist.
About all I’ve bought from iTunes are old favorites that I’d have a hard time finding CDs of, and videos.
The biggest advice I have, is to go into iTunes Edit -> Preferences -> Advanced tab -> Importing tab, and set “Import using” to “MP3 Encoder”. Pick the Setting based on how picky your hearing is, and how small you want the files to be. Bigger numbers mean bigger files, but better fidelity. I use 128 kbps, but then I’m almost 50 years old and have lost some high-frequency hearing.
By using the MP3 encoder, you’ll be able to play your imported songs (it doesn’t affect the iTunes purchases) on nearly any device that can play digital music: the generic $20 MP3 players, cell phones, PDAs, car stereos that accept MP3 discs or memory cards, etc. If you leave it at the default AAC, they won’t play on much besides your computer and iPod.