We have two significant updates on the downloading scene, for classical and non-classical lovers alike.
iTunes Plus
The first is that the behemoth of online music stores, iTunes Store, is dropping DRM for all audio files. As of January 5, approximately 80% of the catalog is being released in iTunes Plus format (no DRM, and higher bit rates). By spring, the entire catalog will be DRM-free.
Just in case you're not clear on the acronym DRM, it stands for "Digital Rights Management" and restricts an audio file's use. In the case of music purchased from the iTunes Store, it means that your files will play only on the iTunes software on either Macs or Windows PCs (provided you've authorized your computer via iTunes), or on iPods/iPhones. Files without DRM, on the other hand, can be played on any computer or portable player that can read the file format (AAC, in this case.)
But there's more to iTunes Plus than freedom from DRM; the music is also encoded in twice the bit rate (256 versus 128) of the older files. This results in dramatically improved sound quality, still not quite at CD level and still well below audiophile standards, but a major step forward, nonetheless. Certainly, if you're playing your iTunes Plus files on iPods with ordinary earphones, the sound quality will more than pass muster, and on a fine stereo system the difference will be immediately audible.
Personally I'm happier about the higher bit rate (double that of the DRM'd files); I'm technologically 100% Apple so the DRM is more or less invisible to me. (Although not completely; sometimes I need to edit files for presentations in my classes, and the DRM creates a problem.)
If you have previous older iTunes files, you can upgrade them for a very reasonable 30 cents per track.
With iTunes having dumped DRM once and for all, I think it's safe to say that DRM is over for online music.

From the iTunes Store: only one of the albums is in the lower-res, DRM'd format
Deutsche Grammophon and FLAC
Next is a a sweet little surprise coming to us from Deutsche Grammophon's online web store, in the form of a set of hi-res downloads in FLAC format. Given that the audio quality of downloaded music files have tended to improve steadily since online music became available, it's natural to suppose that lossless formats such as FLAC are the logical next step.

A sample page from DG showing the FLAC option
I should mention here that "lossless" formats such as FLAC and Apple Lossless are compressed, but the process avoids discarding any audio data. As a result, the files are considerably larger than their mp3/AAC/WMA brethren, but in today's broadband-rich world, I'm not sure that's as much of an issue as it once was. (Ditto on home storage space.)
Even with a moderate stereo system, the difference between lossless formats and lossy (such as mp3 or AAC) is noticeable, even when the mp3 files are at high bit rates such as 320. The higher the quality of the playback equipment, the more dramatic the difference.
Some vendors have been specializing in hi-res audio for some time -- think of audiophile sites such as Linn, or some of the releases found on The Classical Shop. HDTracks offers nothing but uncompressed files; currently the catalog is smallish but is improving by leaps and bounds.
There is really very little reason not to buy a lossless or uncompressed file in preference to an mp3, unless download speeds or storage space remain a concern for you.
One word here about the popular FLAC format and Macintosh users: iTunes doesn't play FLAC natively so you can't just import the files into iTunes and hit the Play button. Drat.
However, you have a number of options for dealing with the issue.
Of these options, personally I prefer the last. A number of tools exist for that purpose; I use the open-source XLD, which renders the process extremely simple; you right-click on any set of FLAC files you wish to convert, use the "Open With..." command to pick XLD, and let it do its thing. (Set the file output format, and the destination, in the Preferences.) Import the resultant files into iTunes, and you're set.
And, if you're a command-line jockey, XLD comes in a console version, and true to its open-source nature, the source code is included in the download package should you care to make your own refinements.
Earlier articles on classical music and downloading on S.F. Classical Music Examiner: