I'm not a classical music aficionado, but the few classical albums I do own fit poorly into Apple's iTunes music organization scheme. Fazal Majid also has another good point, one that so far has kept me leery of purchasing music online:
Instead of a high-quality [...] audio stream [...] you are paying for low-quality AAC files. [...] You also receive the dubious benefits of Digital Rights Management (i.e. they infringe on your fair use rights to protect the record industry cartel's and get their acquiescence). No booklet, no durable storage medium, no possibility of resale.
File size means that uncompressed audio is currently a difficult sell. Uncompressed, unrestricted audio is unlikely anytime in the near future. Too bad. I would certainly pay for that.