Jough, I don't know where you buy your CD's but around here they start at $12. Personally I'm an iTunes man. There are some annoying things such as those previously mentioned, but overall it's a good system.
The only ways to convert Apple's version of AAC are to use circumvention tools like PlayFair made illegal by the odious Digital Millenium Copyright Act, or to burn your songs to CD and then rip them to mp3. (There's a setting in iTunes preferences which allows you to rip to several formats and bitrates.) I've done this a few times, and I haven't noticed any loss in audio quality. Still, I don't have the best ears, so you might not want to take my word for it.
Fortunately, it only costs $1 + a blank CD to try out this manner of purchasing music, so I recommend you try it yourself. Really, what else were you going to use that CD for? Apple's hidden rules for burning music purchased through iTunes are as follows. When you purchase a song (or set of songs), you can put it into a playlist, and then burn a CD from that playlist. If a playlist contains one or more songs from the Apple music store, then you can only burn that playlist to CD 7 times. Thereafter, you will not be able to burn that playlist until you add songs to or remove songs from it. This is easy to get around for those who are determined to do so, but lax enough to make you not really care to get around it.
So yes, buy+burn+rip is kind of a hassle, but it's not too bad, and if the dinosaur kings didn't determine what your player could and could not accept, then we wouldn't be in this mess. Also iTunes is a joy to use as far as organizing music and playing it from the PC is concerned.