How is Amazon using an external downloader program any different than iTunes requiring the use of the program iTunes to download?
I find it very easy to download music from Amazon, and if you use iTunes, the album or song shows up automatically in iTunes as soon as you open it.
Amazon also has tons of free music in the form of samples from various albums. Plus, I love how you can listen to parts of each song before committing to buy.
Meanwhile, because iTunes is a "soup to nuts" solution, you can buy and download the music without leaving iTunes itself. That's why most of the legal digital music downloads are done through iTunes.