Has anyone used Rhapsody? I can't rummage through their catalog without downloading something, which I don't feel like doing. Itunes has a lot of the music I like, but they make it difficult to get an actual "MP3" file. Napster and MSN Music have crap selection--rather, I have crap taste, they have a good selection of things other people like, but NOTHING from Dead Hensons, Flash Girls, Darkest of the Hillside Thickets, or any of my other dubious favorite bands. Advice?

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If you're following the news on the Sony Rootkit at all (Ask Josef if you aren't,) you'll know that buying music from RIAA label bands makes the Baby Jeebus Cry, and Rhapsody, I believe, is owned by one of the RIAA labels... I think, Sony, actually.
You don't have to download with Rhapsody; IIRC I used it without downloading by default. iTunes has the best selection but burning to CD and then ripping in WMA/mp3 is lossy. Then again, unless you have a fairly snazzy sound system, you might not notice much difference. I don't tend to see you using headphones or really 'spensive speakers.
I use iTunes because I have an iPod. I have an iPod because it's relatively inexpensive for what it is, it's better made than most of its counterparts, and the one other mp3 player I had considered -- the Creative Touch -- does not currently (or did not when I last checked) have a firmware compatible with audible.com and their audiobooks are the main purpose of my mp3 player. I now have most of Discworld with me at all times. FEAR ME.
Advice is frankly to order the albums you can. I don't steal music, but I don't feel guilty downloading stuff that's not for sale ANYWHERE, even on ebay or amazon.