When you buy from Itunes, you are getting 128 kbps AAC files (yes, lossy). If you burn them to a disc, they more than likely won't play on any of your hardware in this format. You would have to set your burning preferences to burn this music as an mp3 CD. Converting from one lossy format to another (at the same bitrate) is generally not recommended. I don't know of a player (CD or DVD) that can read AAC files, but someone can correct me if I'm wrong. You can take a CD and encode it with Apple Lossless in Itunes, but everything you buy from their website is at 128 kbps I believe. Obviously if you hook your computer into your home theater, then you can play this stuff through a set of analog cables from your sound card.
If you want higher quality and more flexible options, then I would say buy the CDs. AAC files are tricky because they're protected, and you have to jump through hoops to use them with anything other than Itunes (which is the way Apple wants it).