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.