Whenever I buy a song on iTunes (or any other online store), I immediately convert it to mp3, and move the mp3 to another folder that iTunes doesn't know about. Then I shut down that proprietary pile of cow dung and play, sync, etc. the song in any way I like, using any program I like, on any device I like. It's a bit of hassle, but in exchange, I actually get to feel like I own those files.
I think I started doing this shortly after Amazon got into a minor shitstorm for remotely deleting copies of 1984 (of all books!) from Kindle devices. News like this makes me happy that I've been doing what I've been doing.
The AAC files that you get from iTunes are DRM free so you shouldn't need to convert to MP3 and take a small hit in quality. Most devices _should_ be able to play the .m4a files.
If you're getting lossless files, you should probably be converting them to FLAC. You might (read: will) take a small hit on quality going from AAC to MP3.
I think I started doing this shortly after Amazon got into a minor shitstorm for remotely deleting copies of 1984 (of all books!) from Kindle devices. News like this makes me happy that I've been doing what I've been doing.