I've always been reluctant to buy music from the iTunes Store because I'm worried about losing all my purchased music.
The latest version of iTunes seems to have a new feature - I bought some Scissor Sisters tracks, and after it finished downloading them, it warned me my purchased music was valuable, and offered to back it up. I said yes, it demanded a CD, and wrote some kind of backup to it.
You've still got the iTunes lockin I suspect, but I see it as a big step forward.
Also, so far I hate Scissor Sisters.