I used to save them on my hard drive, but have stopped doing that for the most part.
Pretty much everything I d/l, I put on my Archos 20. Like Uncle Skid, I didn't "need" one, but since I use it at work, I realize that it has become indespensible. Since I'm pretty much of an eclectic listener, it's great to have access to dozens and dozens of CDs without having to actually haul them in to work.
Also, I initially signed up for the 3-month sub, but quickly realized that the yearly contract would be no problem. $10/month is "nothing", considering what's there.