I buy music from both iTunes and Amazon. iTunes makes it SUPER easy to burn CDs (you just make a new playlist with the songs you bought, and tell it to burn a CD). So if you don't have another program for making CDs (I assume you mean a music CD that can be played in a CD player, not just a regular CD like you make in any computer with a CD burner), I think iTunes might be easier. But Amazon sells their files in MP3 format (iTunes uses a different format) which means you can play them using a wide variety of music software and MP3 players, while iTunes's files mostly only work in iTunes and Apple-made iPods.

That's my 2 cents anyway. :D Short summary:

- easier: iTunes
- more versatile: Amazon