If you view a CD at Amazon using Internet Explorer you'll see 3 ways to sample the music: Windows Media, RealPlayer, and the Amazon Sampler.
The Amazon player is nice because it feels more integrated with the page, much like the Google Video or YouTube players (but not quite as good, as it opens in a small popup window). Integrated players are the way to go.
You never see this if you use Firefox though, and that's something I hope they address in the future.