If you want to see what kind of selection the iTunes Music Store has without having to download the application and its associated baggage, check out iTMS-4-ALL, which lets you search their database in any web browser and listen to the samples (!), as long as you have an appropriate application to do so. I believe the new version of WinAmp natively supports the .m4p AAC files used for the track previews, but if not I know that a plugin is available.
If you like any tracks or albums enough to buy them, you will have to download the iTunes application to buy it through Apple, though. I’ve bought about a CD’s worth of tracks now, and I must admit that on the whole Apple did a good job with their implementation of the store and its interface. The only thing that would make it perfect would be if you could download unrestricted MP3 files, but I guess that’s asking too much.
Update: With the new release of iTunes 4.5, this service no longer works. 🙁